On the Start/Options Screen, press B, A, B, Y, Down, Right, A, Left Shift, Down. You should here a 'yip' indicating success. Now in any level, hold down the Left Shift button and press Up on the D-pad to go up a level, or press down to go down a level.
After you beat the first level, let yourself die. Now, on the Press Start Screen, press and hold Right and press Start. On the Start Game Screen, hold Right and press Start.
Thanks to Revolution Reader Jason Beeman!