I want to use a cheat in this one game since once you lose all your lives your forced to start at stage 1.

There are ways to use cheats I assume, because in the games controls there is a key (F12) to activate cheats. But lol. I don't know, but I'd guess that this involves importing some kind of text file into a designated folder packaged with the emulator. And it usually involves editting .ini files. Again, I'm not sure, but I have seen this before on many emulators.
Now if your main concern is infinite lives, some arcade games have little "cheats" in the dip switches, which you can get to by pressing TAB in game. Not all or even many arcade games have these though, you mostly see it in popular cabinets. If I recall, in DarkStalkers for example, you could change all the settings on the cabinet, from difficulty to time, and the most common option you'll see is Free Play. That usually only rids the need to enter tokens though. 
Sorry I couldn't be of more help, but the short answer is yes, most likely. But it will likely require some work on your end.

It did not work for the mame game I'm running oh well guess I'm going have too download a mame emulator and that game I guess.