Pressing 'X' with a ROM highlighted will open up the cheat window, and load cheats for that game. Before the cheats will appear however, they must be built from one of the cheat databases you have in your "cheats" folder. Here's the process broken down:
1: Have .XML or .dat file in the "cheats" folder.
2: Open the cheat window with the game you want to use.
3: Click "DB Select" and cycle to the database you want to use.
4. Hit "Rebuild". A "GAMENAME.cc" file will be created.
From then on whenever you open the cheat menu, the cheats from the "GAMENAME.cc" file will be loaded. Whats a tad annoying though is that you have to do this for each game (steps 2 and 4), and every time you want to update the cheats. Once you have your cheats loaded, check/uncheck the ones you want active with the 'X' button. This is the only menu where the stylus cannot be used.