At the menu with the "New Game" and "Load Game" options, press Y(3), X(2), B, X, Y, B, X, Y, X, Y, X, Y, B, Y(2). If you entered the code correctly, the word "Cheat" will appear. Go to the stage/level selection screen and press Start. You will find a new "Cheats" option. Select it to find options to unlock all levels and some cheats labeled as "?".