Highlight the "Game Start" option, and press L1 + R1 + Right.. If you entered the code correctly, the starting stage number will appear next to that option.
Four player mode:
When the warning appears on the opening screen, press Square+Triangle+Circle+X. Then, four players may play the game simultaneously.
Select Captain or Jennety as a character. Then, hold L1+R1, and press Special Move to pull off a one hit kill.
Thanks to Revolution reader Timothy Chen!