The word 'code' has many different definitions... oh sorry.

The instructions can be a little mis-leading. It might be better if it said "at the start/options" screen (it's the same screen).

As soon as you see the scrolling "mug-shots", you can enter the code. That's all you need to do.
The timing isn't super-fast; about 2 button presses per second is fine.

If it works, you'll get a new selectable option "cheat enabled" where you can go to set various options. If it doesn't work, try again --you'll get it eventually. I was able to re-try & get it to work without resetting.

Fight!