I was trying to make cheats work too and found a way.

There is 3 user.cfg
>> Steam\steamapps\common\metro 2033\user.cfg
>> C:\Users\scarabD\AppData\Local\4A Games\Metro 2033\user.cfg
>> Steam\userdata\18598671\43110\remote\user.cfg
You have to add in all of 3:
g_global_god off
g_god on
g_unlimitedammo on
But the one in C:\Users\etc.. folder will get the lines delete by the game everytime (i think always you
quit the game), so append the lines again.
I just passed by that shoosting without die and inf ammo, in the second part.. after losing all my
moneys to the nice lady who show me the big surprise. haha
*Quit the game before you do this.
*After you quit the game add those lines again.
*I just quit and start the game again and it works fine.