What exactly do you mean? I can add codes and get them to work... I'll try walking you through this. Don't take it the wrong way, but there seems to be a lot of people who don't really know how to use the cheat settings...
1. Load the ROM (I'll be using Super Mario 64 here)
2. Select Cheats from the Options menu
3. Click the New tab
4. Type in the code (Note that even though you can't type "00**" in the second code box, it's enough to type the last two letters if it's a "00**" code. For example, if you want to type a code that ends with 0048, it's enough to type 48 - the program will add the 00 automatically)
5. Click insert
6. Tick the cheat that you want to use. (May require a restart)