To shoot through most of the walls just simply put your gun (except for some weapons like the L.A.W., knife, or Grenade launcher) against a wall or barrier as much as you can and pull the trigger. Sometimes, you can manage to fire at something on the other side.

Press T to drop the message window and input a cheat then press ENTER:

God mode … god
All weapons … weapons
Full ammo … ammo
No clip … noclip
No enemies … removeai
Play easy … easy
Play normal … normal
Play hard … hard