It would help if you could described the cheat you are trying to use but I'll try to sort out possible things that unables you to use cheats anyhow.

A common mistake is to use cheats intended for an other platform (xboz-cheats for example). Check your source, there is usually a platform listed in the head of the cheat page, just underneith or next to the game title.

Another easy to make mistake is to enter a cheat code at the wrong place. Make sure you are in the correct place (stage select screen, paused game, start-up screen, et c.)

The last thing commonly missed is the exact sequence of the code. Some codes require that you press buttons while holding down for example L1 AND R2 at the same time. Make sure you've got it right and if there is room for misenterpretation or you suspect that a typo has happened try all sorts of combinations.

Good luck.