At the title screen, hit the following:
Up, Down, Up, Down, Left, Up, Down, Up, Down, Right
Soccer Kid will say something, and during this, press B.
Press Up, Down, Up, Down,
Left, Up, Down, Up, Down, Right
at the title screen. Soccer Kid will say "Hey that's the
cheat mode" to confirm correct code entry. Press Left or
Right at the options menu to change the starting level.