When selecting the game I want to play (Dishonored 1), I get into the game and I go to turn cheats on. It just says that I haven’t pressed play. So I can’t turn cheats on. And if it would work, they just automatically turn off after like 2 seconds. Help/Fix is appreciated.
Welcome to the community. 
First of all, please make sure your copy of the game is purchased from Steam, as opposed to elsewhere or cracked. And that it is up to date.
When the above is confirmed - Click the down arrow, which is next to the Play button, and set a custom path to the .exe of the game. Which by default for legit Steam games is found in:
C:\Program Files (x86)\Steam\steamapps\common\GAME_NAME
Then launch the game first via Steam launcher. Wait on the main menu for five minutes. Then alt+tab to WeMod press Play, and alt+tab back to th game.
If you’re playing the Disonored: Death of the Outsider expansion then you need to use this separate trainer, as the expansion is stand-alone: Dishonored: Death of the Outsider Cheats and Trainer for Steam