Enter the options menu, then highlight the EXIT option. Then press and hold A + B + C + Left. Now use left and right to choose which cheat you want to use.

00 NO CHEAT - Does nothing.
01 SIX LIVES - Start with six lives.
02 FULL ENERGY - Start with a huge amount of energy.
03 LEVEL SKIP - Press pause to skip the level at any time.

Note: Only one cheat may be activated at a time.