If your using the official MAME, then manually edit the cheatpath line of the MAME.ini file.
If your using MAMEUI, then you have to manually edit the cheatpath line in both the Directories.ini file and the MAME.ini file.
For example, this is what mine looks like:
cheatpath "C:\MAME Support\Cheat\Pugsy Cheat;C:\MAME Support\Cheat\Wayder Cheat"
(Just to note... I've renamed the two cheat files to Pugsy Cheat.7z and Wayder Cheat.7z. Also, I have them located in my custom location. So your cheatpath will obviously look different than mine. I just wanted to show you an example of how to do it.)
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