Turn on the game, hold Select and press Reset. Let go of Select and wait for the demo to start. Once in the demo, wait for Mikey to die and when Momma Fratelli starts to talk, press Start. If done right, you'll start on the same level as the one in the demo. If you want to start on a different level, just wait until the demo starts, press Start or Select to go back to the title screen (before Mikey dies) and wait for the next demo to begin. Repeat the process above to start on that level.