Switch on the machine, and when the SEGA logo appears and Sonic jumps forward, quickly press:
UP, UP, DOWN, DOWN, UP, UP, UP, UP, UP. If you've done it right, you'll hear a ring sound. It's VERY difficult to get working, so keep resetting and trying again if it won't work. If it does work, on the title screen, highlight "1 PLAYER" and press UP, a new option called SOUND TEST appears. Press start to enter it and select which level you want to play from.