Press Up, Right, Down, Left, 1, 2, 1, 2, Start at the title screen. Now cheat mode will be activated, and several options including level select will be available.
Enable the "Cheat mode" code. Then highlight the "Mode" option and press Left, 1 + 2.
Hold R2 + L3 Then 1, 2, 1, X, O, O, O, square.