During a game, hit the tilde key (~) for the console. Type in any of the following codes:
Start at specific level
In the system sub-directory of the game folder, find and edit the "user.ini" file with a text editor such as Notepad.exe. Look for the word "CurrMap=" and change the value after the equal sign (=) to a number from 1-40 (this represents the level you are on).