Select the second option on the game menu after pressing 'Start' on the title screen. Left and Right highlights the number indicated -0-, Up and Down selects from 0 to 9. You start with 9 lives regardless on which stage you end up on.

Effect	Password
Stage 1-08 to 1-14 / Boss 1	7 - 1 - 0 - 6
Stage 2-01 to 2-07	2 - 0 - 1 - 0
Stage 2-08 to 2-14 / Boss 2	4 - 1 - 2 - 6
Stage 3-01 to 3-07	3 - 3 - 9 - 8
Stage 3-08 to 3-14 / Final Boss	6 - 1 - 3 - 0