When at the main menu press square to get to the password screen and enter the following:

Password - Effect

7LSPFBVWTWP - Start with 23 lives in Mountains
X4MFB4MHPH4 - Start with 23 lives in Night Strike
V6HGY39XVXL - Start with 23 lives in Puloso City
N4MK9N6MHM7 - Start with 23 lives in Return Home
TGB76MGCZCC - Start with 23 lives in River Raid
9NHDXMGCZCG - Start with 23 lives in Training Ground
BXYTNMGCYDB - Start with 23 lives in Washington D.C.