Hold down the alt key and press W I N. Lets you access a cheat menu.
(Only if you have version 1.2 or greater)
You can use the following keys.

SHIFT + 1 Finishes all buildings in a city up to the maximum. If you do this often you can have a warehouse in which you store thousands of items
SHIFT + 4 Adds a thousand cash to your treasury
SHIFT + 5 Select any good (guns?) and this will give you 100 extra

SHIFT + 6 Select any good and it will take 100 of it in a city,
SHIFT + T a new colonist is added.
SHIFT + S specializes the selected colonist to the task he is doing - for instance a statesman becomes an elder statesman.

If you're up to some real exciting game open the names.txt file.  There you can alter nearly anything, like the cost of recruiting units and the appearance of the founding fathers. Put Cortes to 20 in the first position and you'll be able to recruit him as the first one. You can also alter the harvest you get from several terrains etc., so you can for example gather 50 ore from sea water if you want. The opponents have the same advantages however so be careful how to use it. And of course, you should back up you original names.txt first.

Cheat Edit
Edit money
save your game in slot 1
edit COLONY00.SAV
go sector 20 offset 128 - 131
change to FF FF FF 7F