At the player line-up screen press Left + Select + B at the same time.
Select Chicago as your team, then choose a CPU team and Press A to go to the lineup screen. Press Up and press Select.
During gameplay, find the Room of Idols (located along the northern wall) by bombing in the appropriate place. This trick will work on any stage with a Lurcher present. Inside the Room of Idols, make sure to get the Megaton Bomb, it is required to make this trick work. When outside again, find a Lurcher (grey enemy that fires powerful missiles at you). Before you attack it be sure to have exactly 62 of your regular bombs in stock, at least one Energy Tank, and the Megaton Bomb. You must attack the Lurcher with only your gun, and you must be facing south, north of the Lurcher's position with each shot. After you kill the Lurcher, go into your subscreen menu, and move the cursor to the Energy Tank, then hold up-left on Controller 2, and press the A button twice on Controller 1. Now you'll be unstoppable.
Once this trick has been activated, you'll be able to do any of the following:
1) Items are now infinite.
2) Press up-left and Select simultaneously on Controller 1 to enter a stage select screen.
3)Pause the game and hold both the B button and Select, then unpause, continue to hold these two buttons (B and Select), while holding them down you'll be able to walk thru any wall.
Up + Left + Select (on title screen)