At the Main Menu press Left Left Right Right Up Down Left Right Up Up Down Down. Then highlight Cheat by pressing Down. When selecting a level press Right to display extra levels.
Enter "Cheat Menu=" code above then at the Title screen press L1 R1 L2 R2 L1 R1 L2 R2.
Enter "Cheat Menu" code above then during gameplay press R1 R2 L1 L2 R2 L1 L2 L2 L2.