ok this is how it works for me:
1. create a desktop shortcut of the game; find the exe of the game (should be in C:\Program Files (x86)\Steam\steamapps\common\FE Legendary Heroes) and manually create a shortcut by right clicking-> create shortcut)
2. right click the shortcut, open the properties from the menu
3. on the Shortcut tab, add -cheat in the Target textbox.
the path in that textbox should be something like:
"C:\Program Files (x86)\Steam\steamapps\common\FE Legendary Heroes\LegendaryHeroes.exe" -cheat
4. start the game with this shortcut
