At the stage select screen, fire continually at the arrow below the first stage until the time limit reaches 0. Mission 4 should load.
Cheat Mode - Enable Options plus menu first. Afterwards put a gun to port 1 and a controller to port 2. When you see the title screen press:
Gun Select and Unlimited ammo - Enable the cheat mode, then, while playing, pause and then point AWAY from the screen, and shoot to go through the weapons.
Different Enemy Placement - Go to Extra Options menu and highlight EXIT and hold down the Right SHIFT on the second joypad until you start a new game.
Play as Rage - When the file name appears at the beginning of a stage, hold X
Play as Smarty - When the file name appears at the beginning of a stage, hold Y
Play as Janet - When the file name appears at the beginning of a stage, hold Z