All weapons:
Press C-Left, C-Down, C-Right, C-Up, Z, L, R, C-Left, C-Down, C-Right, C-Up at the level selection screen. A sound will confirm correct code entry.

Level select:
Press C-Up, C-Right, C-Down, C-Left, R, L, Z, C-Up, C-Right, C-Down, C-Left at the level selection screen. A sound will confirm correct code entry. Press the Analog-stick to choose a new starting level.