By rescuing the children in the correct order, you can become the mechanical robot. Here's how to rescue them.

In round 2-1, if you rescue the girl in the window located in the upper left first, a shooting star will appear. Jump to get the star and become the robot.
In Level 2-2, go to the top of the garage and rescue the only child up there.
In Level 2-3, get in the elevator and go up one floor. Now rescue the child on that floor to get the shooting star.
In round 3-2, rescue the first girl, located behind the rock.
In level 3-3 go to the left side of the waterfall. Look straight up and rescue the child above you.

Note: In all of these cases, the child-hostage noted must be the first one rescued when you reach that level.