Go in you your SZ folder (by default C:\Program Files\Infogrames\Slave Zero) in there you should see the szOptions.ini file. Open it and under [Settings] you will find these:

Game Mode=1
Gallery Mode=0

Now, make it look like this:

Game Mode=0
Gallery Mode=1

Now, when in the game, you are invincible, and have unlimited ammo! You can also press "R" to fly.