You must have two controllers connected to the console to enter this code. At the title screen, enter Up, Up, Up, Right, Down, Left, Left, Left, Down, Down, Right, Right with Control Pad 2. A sound effect should play if you entered the code correctly. Then anytime during gameplay, press A + B + C + Down + Right on on Control Pad 1 to skip to the next level.
Press Start + Select + L + R, Up (3), Down (3), Left, Right, Left, Right on controller two at the title screen. The word "Start" will be replaced by "Cheater" to confirm correct code entry. Press L during game play to refill life or R to advance to a different level.