At the TOMY logo, hold A, B, X, Y on Controller 2 until the title screen appears. If done right, the title will be red instead of blue. Now, wait until the Silver Mare's attack demo starts and when it reaches the "Attacker" animation, hold any of the following buttons on Controller 2 until the gameplay demo starts with the words "Press Start". You can then release the buttons and start the game normally.

Effect	Code
25 Continues	Hold L on Controller 2.
6 Smart Bombs	Hold R on Controller 2 and keep holding it until you start the 1st Stage.
Secret Ending (after beating the game)	Hold X on Controller 2.