Press ` (Under Esc.), and you won't be able to see the console window or what you're typing. Then hit space or Enter depending on your computer to activate the window. It still will not appear, but type the code and hit Enter.
If you're trying to get items (I had trouble with this yesterday), hit ` ,then Space and type "giveitem" exactly like that. Then hit Space again and type the code for whatever item you want and hit Enter. It will be in your inventory.
[Edited by Vindicator_911, 1/29/2008 8:05:59 AM]
Careful, though, you can't see anything and there is no Backspace, so you'll have to type it over again if you make one mistake. It's pretty tricky, but once you get the hang of it, it's a cinch. But Vista could be the problem tooo...