The simple way...
1.Move your cursor over Cheats on the list below the blue windows box
2.Click on Cheat List...(second on the Cheats option list)
3.Click on Action Replay/Gameshark/Codebreaker/whatever the type of cheat it may be.....
4.Write the description(optional;if you're gonna use many cheats and may get confused...)
5.Paste/Write the (copied)cheat.
1. Press OK
Source : Personal Experience
P.S. Don't get me wrong,but its actually better not to cheat; it gives a very warm feeling upon completing the game....
Hope This Helps :)