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, start the game, select your weapon and at the "Attacker or Defender" screen, pick one and right before the screen completely fades to black, hold one of the following buttons on Controller 1.

Effect	Code
Stage 2 - Tiamat Gorge	Hold R + Start
Stage 3 - Railways	Hold Y + Start
Stage 4 - Underground	Hold X + Start
Stage 5 - Climbing Cheesering Tower	Hold B + Start
Stage 6 - Inside Cheesering Tower	Hold A + Start