You must possess the Hudson Bee from World 1. Hold Left and press Start when your game is over. You can locate the Hudson Bee inside a secret room in the first cave of the first island. Jump up and down after passing the fifth skull to find the entrance to a secret room.
Stage Select
On the Title screen, press Right, Left, Right, Left, A, B, A, B. This will bring up the "World Select" screen. Choose your island by pressing Up/Down, and begin by pressing A.
