To access the cheat menu, you have to be on the main screen. Scroll down to the bottom of the list. Press and hold L2, then CIRCLE, then R2 in that order, then let go of CIRCLE, R2, L2. Enter the following codes:

525955: All Monsters
659996: All Cities
812304: Buildings Indestructible
122574: Energy does not regenerate
536117: Health comes back
259565: Player 1 does 4x damage
819342: Player 1 has Infinite Energy
531470: Player 1 is Invisible
338592: Player 1 is Invulnerable
927281: Player 2 does 4x damage
324511: Player 2 has Infinite Energy
118699: Player 2 is Invisible
259333: Player 2 is Invulnerable
500494: Player 3 does 4x damage
651417: Player 3 has Infinite Energy
507215: Player 3 is Invisible
953598: Player 3 is Invulnerable
988551: Player 4 deals 4x damage
456719: Player 4 has Infinite Energy
198690: Player 4 is Invisible
485542: Player 4 is Invulnerable