All you have to do is finish the game on the very hard setting. Use the six continues tip to help you getting through the game. Then go to the Controls panel and four more options will have appeared.

Polygon Test:
Let you see different enemies from the game. You can rotate and scale them using the buttons.

Mission Select:
You can choose to begin at any mission of the game. Remember that you can't play the third, fourth and fifth mission on the easy setting.

Movie Test:
Now you can watch all the great movies of the game.

Audio Test:
Listen to the sound effects and background music of the game. As well as the (I think) japanese voice effects of the game. Because at one point in the voice effect, the name of the two police officers are Ryo Kurotu and Marco Antneli which are the names of the two police officers in the japanese version.