Start a game with Sonic and run over to the Madmole near the Super Shoes power-up. Directly to the right of the Madmole is a pulley mechanism that takes you to the next level above by pushing Down on it. Instead of pushing down, push the Left, Left, Left, Right, Right, Right, Up, Up, Up. Now press Start to pause the game and press B. You will be sent back to the main screen. When you can select between Sonic and Knuckles, hold B and press Start for a level select.