Heres how i get Gameshark 2 v4.1 to work.I have a mooded ps2.
1. Load GS depending what boot method your chip uses to boot a ps2 cd-based or ps2 dvd game and use that mode.
2. Select game and cheats you like to use and then press x and tray will open
3. Swap out GS disc and put in your HDA disc and press x and tray will close.
4. Wait for HDA game list to come up and choose the game you have the cheats activated for and press x and game should load with cheats.
5. Then enjoy!
This is the method i use and it works great...