The secret Zone Select Menu requires you to first unlock Debug Mode by collecting any 16 Silver or Gold Medals from the Blue Sphere special stages. Turn on Debug Mode by highlighting the "No Save" option on the file select screen, and pressing the key assigned to "Alt" to access to Secrets Menu. With Debug Mode turned on, highlight "No Save", hold the key assigned to Delete, and press the key assigned to Jump. Continue holding Delete until the Zone Select Screen appears.