Press Start to pause game play, then press X + Y.
To open all levels and the dolphin football select New Game and enter GYU twice and then XXX (Not the yellow button!!) then press the yellow button. Do not select End!!
Encounter the Boss in the "Blades..." level. It is a large room with a Boss that resembles a large dragonfly larvae. Go to the bottom of the room where you can refill you air supply with the bubbles coming out of the ground. Next to the bubbles on the floor near the wall is a small hole. Go through it and get outside the game world.