On newer MAME builds the cheat specs went XML, and a single zip file (cheat.zip) contains the XML cheat file for each romset. This goes in the MAME root directory. For older MAME builds, cheat.dat goes into the MAME root directory as well. You also need to enabled cheat usage in MAME's options. Oh yeah, if for some reason you missed this, take note: If should definitely create a separate XML file for sfex2p, and type in the cheats I gave you earlier in the same XML format as the other cheats. If this doesn't work, I'm out of advice to give.