First enter C, A, Right, Left, C, A, Right, Left on the Start menu to be able to enter cheats during gameplay. Then while playing enter Left, Right, A, B, C, Left, Right, Up, Down, Left, Right.
With this cheat you will get hidden options such as infinite lives and level select.
Follow the steps below..
1. On the Main Menu, press:
C, A, Right, Left, C, A, Right, Left
2. Begin play and pause when Aero appears on screen.
Up, C, Down, B, Left, A, Right, B, then hold A + C to display the cheat menu.