Level Select -
Hold L and quickly press Left,Left,Right, Down,Down,Up,Right
All Protect-
Hold L and quickly press left, up, right, down, left, left, up.
The next cheat is Infinite Lifes[stuff like that]-
Hold the L button quickly press left, down, down, right, right, left, down.
I forgot, Enter these cheats at the main menu[when start comes up].