On most systems the game genies, action replays, game sharks, codebreakers.... are all extra hardware over standard games and most emulators will not support them in any meaningful way.
If the emulator itself does not support the codes, it is a fairly easy thing for the emulator author to add so many do but certainly not all, then you get to patch the codes into the ROM itself. You can do this for game genie codes as traditionally they alter the ROM where the likes of everything else is more of a RAM based affair, give or take newer systems where it can get a bit odder. On the GBA and DS there are tools to patch in RAM editing codes but older systems will not have this as nobody has really tried to make them and probably considers it too hard.
Anyway to patch in game genie codes to a ROM then you need a patching tool. The main one I suggest is CCCGP, which you can find https://gamehacking.org/download (second down or just do a page search for CCCGP).
If push comes to shove you could manually edit the code in but it is a bit tedious so do find a tool, as a start then http://gamehacking.org/wiki/Hacking_NES#Game_Genie covers how they are encoded on the NES.
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