In PC gaming terminology, a "trainer" is a third-party application that modifies the memory of a running game. Unlike mods (which change game files), trainers work in real-time. A "Mega Trainer" implies an all-in-one tool that combines dozens—sometimes hundreds—of cheats into a single overlay or hotkey interface.
Ensure your game is updated specifically to v2.602 . Many trainers for this version may not function with the newer "Steam Edition" (v2.700).
But if you just want to watch the world burn? Activate F1. Spawn a battalion of Pershings. And enjoy the fireworks.
Right-click the trainer and select "Run as Administrator" to ensure it can modify the game's memory.