Enter the following at the Title Screen:

Invincibility          Hold Up and press A + B + Start
Configuration mode     Press Down + Select + B 
Expert mode            Press Up + Select + A 
Bonus game             Hold Up + A + Select 

GameShark Codes

Infinite Lives 01FFF0C0
 
Invincibility  0146f5d3  

 

Thanks to Revolution readers Mark Jeffrey, Robert, Sebastian Keijmel, and Richard George!