Run up to whatever you want to take cover behind. You will see your gun point up. Congrats, you are now in cover. Either press the aim button or press more towards the cover to pop out and shoot.

Have you guys played Max Payne 1. The thugs were gunning each other down on purpose quite a few times. 

Playing the first 2 is not necessary to understand 3's story. However it will give you a deeper insight into the character, his motivations, and just how he wound up in the situation he's in. The first 2 both have excellent stories and I highly recommend playing them. 

Max Payne 2 had the same thing. I love all the little touches. I was actually a little disappointed when you couldn't use the soda machines anymore. 

Mine is: Oderint Dum Metuant

Latin for "let them hate, so long as they fear"