When you activate cheat mode (by pressing Print Screen during play), a genie
pops up on screen and asks you what you want to do.  Normally, this would be
where you enter a cheat code.  If instead you keep hitting Print Screen,
the genie will get progressively more annoyed, saying, "What?" then "WHAT??"
then "Why do you keep rubbing me??"  This is a reference to Warcraft, where
something similar happens when you keep clicking on a character you want to
control.

Balls of Steel takes this joke further.  If you continue to hit Print Screen,
the Genie will start telling you to go away, in various ways, finally denying
all use of the cheat codes.