That's a lot of questions for a single post, kaitsu!
But the first one is easy. That's just putting your pictures on different video tracks (in timeline mode) and then adjusting the Position and Scale settings for each. You can get to these settings by right-clicking on each picture on the timeline and selecting Show Properties and then opening up the Motion properties. (You can also do some adjustment to size and postion by clicking on the picture in the Monitor and sizing and positioning by dragging on the corner handles.)
Movie blood can be purchased at many costume stores or over the internet. That's much easier than the old recipe -- food coloring and corn syrup. Just to go Amazon.com and do a search on 'stage blood'.
Gunshots are a combination of pyrotechnics, sound effects and special effects. It all depends on the effect you're trying to get.
As for changing your voice, Premiere Elements has lots of audio special effects. The PitchShifter has a number of great presets as well as controls for creating a number of others, for instance. Give them a try.
With the exception of blood and gunshots, these kinds of production techniques are covered in my "Muvipix.com Guide to Premiere Elements 7", available on Amazon.com and on the products page of Muvipix.com at http://muvipix.com/products.php
If you're really new to the program and want to learn how to use it to any real degree, it might be a good investment!
First - welcome! Second - thanks for the link, as I did not know anything about Max Payne.
What I saw in the YouTube AV was PiP (Picture in Picture). There are a few ways to do this.
1.) PE has presets for various PiP Effects. Whether one of these will work for you, is something that only you can tell
2.) Whether you are using stills, or Video Assets, you can manually create what you want, and exactly like you want it with Keyframing. This is the way that I do all of my PiP work, as it gives me ultimate control. There are several tutorials on Muvipix, that cover most aspects of working with Keyframes.
Basically, you will place the Assets that you wish to have combined into a single "frame," or "stage," in separate Video Tracks (VT's) one above the other. Don't worry, the upper one will cover up the lower one, but you'll soon fix that.
The Motion Effect is a constant and is always there on every Clip, whether a still, or AV. You will use two aspects of the Motion Effect, Position and Scale, to size and locate your upper image. Keyframe the beginning of your Clip and then adjust the Motion>Scale to reduce it to the size you want. While at the very beginning of that Clip, create a Keyframe of Motion>Position and adjust it to place the image where you wish.
Now, do the same for the lower Clip (I'm using two images as an example, but you can have many more). When done, you will now have two images sharing the "stage."
With Keyframes, you can animate how the images come onto the "stage." They can start at full-frame and then shrink and move to their ending location. They can fade in. They can slide in from any point off-screen to their final position. This is totally within your control. Same for how each image leaves the "stage." Experiment and see what you like best.
For the gun, I'd look into stock footage, and Muvipix has a bunch. Do not know about muzzle blasts, or smoke, but maybe. Again, Keyframing the muzzle blast for both Scale & Position will allow you to locate it, where you want it.There are also a lot of free/cheap sound effects (SFX) on the Web. You can get all sorts of gunshots. By placing these on your Audio Track, you can simulate the sound.
For the blood, I'd use Corel Painter to create a series of images with transparent backgrounds. These would then be Keyframed to approximate the flow/trickle. Photoshop can do this too, but for the look of the depth and wetness, Painter makes it very easy. It depends on how realistic, or how "comic" you wish it to look.
For your Audio, you might want to look at Audacity, a freeware Audio editor. It might offer you more control, than your present program, which I do not know. One nice thing about Audacity is that you can use many VST plug-ins. There are thousands of these on the Web, and many are free. Many will work in Audacity. They may also work in DJ 2, but you'll have to check. Some of these will alter every aspect of your Audio. I use Adobe Audition, but it's a pro program, and would be horrible overkill for this application.
As you can see, most of my recs. concern Keyframing. I'd start at Muvipix and learn all you can about the process, plus explore its power. You will not regret it, once you get the hang of it.