To activate these cheat codes, go into the games' "properties" and select "advanced". In the "advanced" tab there will be a field for "Cheat Codes", enter the below codes and if done correctly you will receive a conformation message "Cheat OK". You should enter the codes before starting your game.

2509 = Free Play On
1971 = Player 1 Invincible
1515 = Player 2 Invincible
4774 = Finish Game after 1st round
3871 = Play as Grox
9021 = Play as Exor
9997 = Play only on secret level
1037 = Easy Fatalities (HP+LK activates Fatality, must be in correct place)