On the first level, make Mowgli run all the way to the right until you get to the briar patch. When you see Mowgli recoil at the edge of the place, you know you're in the right spot. Jump into the canyon and pause the game right before you're about to fall to your death. While the game is paused, press B, A, Down, C, Right, A, B, Left, A, Right, Down, B, A, Left, Left, C, Up, Right, Left. As soon as you do that, the screen will change to the Debug Menu, which features level select and a host of other options such as invincibility.