At the game selection menu, highlight "Level" and press Down + A simultaneously to change the level number (0-8) or Down + B to alter the sub-level (0-4). You can also press Up and Down simultaneously (if you have a specially modified controller that allows this) to add 10 stages (up to 30), but this is not necessary for the activation of the cheat. Once you have the desired level, you can begin the game from that level.