Begin a new game, then press START to pause it. Press CNTRL I: B [R] A SELECT SELECT Y A B Y A B START. From now on, press START to pause the game and enter [R] A SELECT Y START for extra lives, A [L] [L] START for the stage select, or [L] or [R] for slow motion.
Nigel Wayne/Stage Select Mode:
Press START to pause the game. Now press CNTRL I: B [R] A SELECT Y A B Y A B START START A [L] [L] START.