To perform the Level Select Code, Press Up, Down, Left, and Right. You'll hear a Ring sound, which confirms that you completed the code. Hold A (Depending on how you set the controls for the game) and Press Start. You will have access to the level select, as well as the Special Stage, Final Zone and Sound Tests.

Code - Effect
Up, Down, Left, Right, Hold A (Or the Default A Button on your controls) and Press Start - Level Select and Sound Test