At the title screen, select Continue, then choose a Save Game slot and press Circle and quickly hold Select. Now press Circle, X, Square, Triangle repeatedly until a Debug Menu appears.

This will bring up a Debug Menu with all sorts of things you can change! The first one says "Muteki" and in other games in the past, Muteki means that when turned on, you are invincible! Most of the other ones are self-explanatory, but some don't do anything noticable. When you're finished, press Start to begin your game.