You need to right click anywhere in game, it's in the bottom.

If you're loading onto your old save, go to the Main Menu, click LOAD, click on your save, on the bottom right there is a "More..." button, click that and go to the mod menu for that save. Enable Cheat Menu and you're good

Confirmed working 41.65

To play solo with cheat menu:

1/ Subscribe to this mod in the workshop

2/ Open Project Zomboid (close and re-open if you have it open already)

3/ Click on SOLO

4/ At the bottom of the NEW GAME window, under MODS, click "Choose Mods"

5/ Click "Cheat Menu" so it says ENABLED.

6/ Select your Playstyle and hit next.

7/ Once in game, right click anywhere on the ground to view the cheat menu.

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To HOST with cheat menu:

1/ Subscribe to this mod in the workshop

2/ Navigate to the Zomboid workshop mods folder for steam. For example, my directory is;
C:\Program Files (x86)\Steam\steamapps\workshop\content\108600\499795221\mods

3/ Copy the folder named "Cheat Menu"

4/ Navigate to the Zomboid mods folder in your Windows User folder. For example, my directory is;
C:\Users\reeeeedly\Zomboid\mods

(If there is no Zomboid folder in your User folder, host a server and then close Zomboid to create the folder.)

5/ Paste the "Cheat Menu" folder.

6/ Open Project Zomboid and click HOST

7/ Click Manage Settings...

8/ Click Edit Selected Settings

9/ In the left Menu, click Mods

10/ Under "Add an installed mod to the list:" click "Cheat Menu". This should add the mod "Cheat Menu" to the "Mods used by this server" list.

11/ Click Save and Back

12/ Start server. Right click anywhere on the ground to view Cheat Menu.

13/ If you want others to be able to use cheat menu on your hosted server, they must also have installed the Cheat Menu mod into their User/Zomboid/mods folder. They must also be an admin on the server. To do this, type /grantadmin THEIRNAME.