@dankcushions Yep, that was actually helpful! Thank you!
Here's what I did to make it all work.
Your cheat.7z file has to be in this folder:
You can get the cheat file here:
Load up a game in lr-mame2016 like "Donkey Kong" for example, and then go into options and "Enable Cheats."
Screen Shot 2021-03-02 at 8.00.47 PM.png
You then need to RESTART the game (It does not say restart required in the options, but you have to restart) and then when you load up the game again, press TAB on the keyboard to get to the MAME Menu:
Screen Shot 2021-03-02 at 8.02.10 PM.png
And then you can be just like Billy Mitchell and cheat to your hearts desire! :P
Screen Shot 2021-03-02 at 8.02.43 PM.png
I've tested it in quite a few games as so far so good!
Thanks again for the help!