When I type in player>additem gold_001 999, this is what I get:
Script SysWindow CompileAndRun Script. command "player" not found on line 1.

Any idea what this means. I get this on several of the commands.

If you typed it exactly like that it will not work, instead the command should be:

player->AddItem "Gold_001" 999

Of course, if you're playing Oblivion and not Morrowind the syntax is noticably different. Adding 999 gold to your inventory in that game looks like this:

player.additem F 999

You left out the dash (-) after player. should be player->

There isn't a space in gold_001 so the asterisks are optional.