When in the main menu with New game, load game and so on, go to the options but don't open it. Press triangl circle left L1 R2 square circle left. You should haer a sound confirming the code. Now press L1 select and triangle at the same time and voila! you can chose any level to play and you can turn on infinate life.
Submitted by Joseph Towns
On the main menu, highlight options. Press...Triangle,Circle,Left,L1,R2,Square,
Circle,Left. Hold down...L1,Select and Triangle.Now press NEW GAME
Submitted by James Sheehy