I had same problem. To solve problem i created .txt file called "steam_appid" without quotes. In file i wrote number 204100. When naming the file i didn`t add .txt in name. Next thing is to turn on admin rights on maxpayne3.exe and because i`m using Win 7 x64, i had to turn on compactibility mode for win 7 too. Rebooted steam and computer and now it starts normally via steam. All this info is found from rocstar and steam forums.
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