Maybe you're putting the cheats in wrong?

You have to specify what cheat device the codes are for before you put them in. For example, if they're GameShark codes, click the GS button, and it'll open up a window in which to input the cheats. If the codes are CodeBreaker codes, you'd do the same thing, only click on the CodeBreaker button instead. Once you have the codes all typed in and set up, you have to click the button labeled enable, otherwise nothing will happen.

Also, make sure whether or not a master code is required. If so, you need to put that in first.