At the character select screen, move the cursor to 'Seibetsu' and press the buttons in order. To get to 'seibetsu' start a game, choose the first option on Data Load screen (ie do not load), choose either of the next options, choose number of players, on the next screen, push up twice and the cursor will be pointed at 'seibetsu'. Enter the code here.

Effect	Code
Play as a penguin	A B X Y L R