INSTRUCTIONS Enter these codes into your emulator of choice (or Pro Action Replay, if you're using a ROM copier by chance) then load the game as normal. Press Start on the title screen and you'll be whisked away to your level of choice right after.
LEVEL SELECT C0140FXX, C0141173
Where "XX" is, use: 01 for Freezeman Stage 02 for Cloudman Stage 03 for Junkman Stage 05 for Slashman Stage 06 for Shademan Stage 08 for Springman Stage
Codes provided by Ugetab of the GSHI forums and The Mechanical Maniacs