Take the telepad in Highwater Pass II and then, get the helmet of Cyclone. Now it's a bit difficult. You have to arrive to Isle of the Lion Lord with that transformation.
There, search for a hidden telepad near the flag and take it. In Elsewhere, take the telepad again and... you are in Pyramids of Peril (about 15 levels ahead)!
At the end of Blue Lake Woods II, there are some item boxes above the flag. Jump to the very last one and press down, right, special and jump simultaneously. You'll be warped to Plethora, where you can fight Heady Metal, the final boss.