It's C0DE9999, (C-zero-D-E-nine-nine-nine-nine) not COD (C-O-D-9-9-9). You should write XeXMenu to a CD if you don't see it in Games/Demo.
LE: Wow. Until I press the post button someone else was quicker than me.
From here forward you should install Freestyle Dasboard and Dashlaunch. FSD is for ripping your own originals, or you can use Iso2God on the PC if you already have ripped your DVDs as iso, and it is aslo used for copying through network your GOD. Dashlaunch is used to launch at start automatically your chosen default.xex (XexMenu or FSD).