I have tried multiple USB Drives on the PS2, but it wont read the codes.
I have a gameshark v 1.1
SanDisk Cruzer 2 gb
kingston 64 mb
some cheap flash drive

Is there something I am missing?

Not all usb drives are compatible! Please check the compatibility list: http://boards.gameshark.com/index.php?showtopic=12524

Also please make sure that you have followed all instructions found in your user manual (if your unable to locate the manual you can view it on like via the link I will post): http://boards.gameshark.com/index.php?showtopic=12135

I am able to see all the files in the usb drive when I used the Memory Manager. The .P2M files are all there, but nothing pops up at the main menu. The same thing happens with different USB drives. The only one that didn't work was SanDisk Cruzer.

Like I said:

You need to make sure that it is compatible! If the GameShark program can see it when you plug it into the USB Port of your PS2 then it is compatible. If not then it's not! Remember you should not have any other usb devices plugged it on your PS2!

I should also add a suggestion here, as I at first had a similar problem. Make sure that you start the gs up without the drive plugged in, and then plug it in once you're at the main menu screen. If I try to start up the PS2 with the flash drive already plugged in, it'll go into an eternal loading stage, so I always wait until after I have control at the menu before plugging it in. I haven't tried swapping save files back and forth with an external drive yet, but I was planning on doing that soon anyway (I've had a few GS-stored saves on a different flash drive from the code one, and I wanted to play one of those games again). I'm using the 'newest' gameshark version, the one with guitar hero 2. Strangely, only one of the games I own was on the new disk that wasn't on my V4 disk... but never mind that. Just try that method, it might work, it might not. You might have already tried it, for all I know. I wish you the best of luck, and I hope you find a solution to the problem.

Respectfully yours,
MasterWriter42