CheatDevice for VCS runs as a PRX, so you need to run VCS through DevHook to use it. Install the PRX by running CheatDeviceInstall.exe or read the instructions in readme.txt if you prefer to do it by hand.
After installing, wait at least 30 seconds before turning off USB or pulling out your memory stick. The PC caches your changes and doesn't write them out until a while later. If your memory card gets corrupt, use "chkdsk /f X:" I advise against saving your game after using cheats. Please note that when you spawn vehicles, you are using a game cheat that will lower your criminal rating!