Hold R Button + C-Left, then release
Hold L Button + R Button + C-Up, then release
Hold L Button + Left, then release
Hold R Button + Up, then release
Hold R Button + Left, then release
Hold L Button + Up, then release
Hold R Button + C-Down, then release
Hold L Button + Right, then release
Hold L Button +C-Right, then release
Hold L Button + R Button + Down, then release

ps: To use level unlock codes, you must have the previous level unlocked. For example, to use the Egyptian Unlock code, you must have the Aztec level already available. These cheats also, are entered on the mission selection screen.