Once your database has been updated boot a game.
Hold down sellect untill the CWcheat menu comes up.
Under: Select
cheats.
All
cheats you in your database should be listed for the game running.
Turn on those you want by pressing X then press O.
Now select:
Cheats Enabled Yes.
Doing this should enable the codes you selected on the select cheat screen.
If no for your game no cheats list perhaps there is non.
But try CWcheat on another game you are sure that has cheats.
Just to see or CWcheat is functioning properly.