Here's the info as listed in Gamespot:
Cheat Codes
In order to enable these cheats, you must open the Baldur.ini file located where it is installed. Open the file using a text editor, and locate the [Program Options] line. Under that heading add a line that says "Debug Mode=1" (without the quotes). You will then be able to open the console during the game, which will allow you to enter the codes. To open the console while playing, press CTRL+SPACE
I think the key is to make sure that you enter the "Debug" line under
"Program Options" in the text file. Hope that helps!
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Now where did I leave that doughnut?!