hm, I know about some problems with Win98/98SE/ME as OS (it only works in 50% of the cases)
does you've tried other trainer work fine?
here are some points you can try, maybe one of them can fix the problem
1. does you run original .exe-file? maybe it don't work to cracks or loader (also use original CD and not drive-image-software)
2. try to move mouse to corners or enter advisor, so civ3 will refresh the screen after activating a cheat (some versions don't refresh automaticaly)
3. maybe another program blocks the shortcuts, try to close all other programs using taskmanager (CTRL+ALT+DEL)
4. enter this command to msdos-prompt (h=hour, m=minute, to start MTXL at this time, so it will inserted in another way to the system if the OS blocks the trainer): at hh:mm /interactive {Path to megatrainerxl.exe}\megatrainerxl.exe