It's four cds, only three to install. The fourth is just a play cd. There is no keycode needed, but I think it's worth paying for. That's not to say that you should go out and buy it if you have doubts, cause there's a good chance you won't like it. If you like The Matrix, or matrix-style action, at least try this game out.
Also, forgot: the music is good. It is alot like the movie, it changes as what's happening changes. There are alot of parts that resemble scenes from the movie. So far, it's alot of fun.
I haven't played Max Payne (so not that mod either) but it would be cool to play. I think I will check it out sometime.