After beating the first level, let yourself die. When the Press Start screen comes up, hold Right and press START. Go to Start Game and again hold Right and press START.
Press START at the Title Screen. As the game is starting, press B, A, B, Y, Down, Right, A, L, Down. Press and hold L then press Up to skip to the next level. press and hold L, then press Down to go back to the previous level.