First you need to have a saved game with the game completed, then turn on the game, and at the Sega logo, press Down five times. If done right, you'll hear a "Whoosh". Now start a new game, and before the game begins, the narrator will say the "journey will be more difficult". Alternatively, you can use the Debug Mode code and turn on the "Game Completed" option, then pick the "Reset" option to go back to the Sega logo where you can input the code.