Okay, it sounds like you're doing it wrong. You have to input the cheats during the game, without pausing or anything. Just type them in whilst Tommy is standing still. For example:
All Weapons
R1, R2, L1, R2, L, D, R, U, L, D, R, U
For this cheat you would get out of a car (If you're in one) stand still and then start by pressing R1 and so on. Then the cheat should work and you will have all weapons.
If that's what you've been doing, then sorry I don't know what the problem is...
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Game Status:
[PS2]: N/A
[XBox]: N/A
[GC]: N/A
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