At the information screen that has the mini breakout game at the bottom right that is displayed before each level, a prompt on the bottom displaying warp and a series of zeros. Move left or right to change the highlighted number to what you want and press the fire/jump button to set for level warps. They vary (from what I know) as Red, Yellow, Green, Aqua Warps and are displayed at the top of the same screen when you beat certain levels.

Password - Effect

Red Warp - 23 - Warp to level 4
Yellow Warp - 46 - Warp to level 9