Turn on the system holding 1 + 2 and wait for the Sega logo to finish.You can skip the Sega logo by pressing Start while still holding buttons 1 & 2 down.
At the Title Screen press 1, 1, 1, 1, 1, 1, 1, 1, 2, 2, 2, 2, 2, 2, 2, 2, Start for a Level Select number to appear at the top of the screen.