I don't mean using the cheat that gives you all weapons and 1000 ammo for each, I mean the (cheat? exploit?) that gives you them whenever you start a new game, as if you had already beaten the game once.

My dad was able to do this in my disk copy on our desktop, but I don't know how to do it now myself.

I ask because I like the added "challenge" of the New Game + mode - all enemies have more health you see and may make you more careless, using more medipacks and raising the stakes a bit- but this version of the "second playthrough", lets you choose your locations as normal and seems to avoid the Second Time Through bug altogether if memory serves me.