Enable Options plus menu first. Afterwards put a gun to port 1 and a controller to port 2. When you see the title screen press: Up, Down, Up, Down, A, X, B, Y, C, Z.
Cheat Mode
Go to Extra Options menu and highlight EXIT and hold down the Right SHIFT on the second joypad until you start a new game.
Different Enemy Placement
Enable the cheat mode, then, while playing, pause and then point AWAY from the screen, and shoot to go through the weapons.
Gun Select and Unlimited ammo
When the file name appears at the beginning of a stage, hold Z
Play as Janet
When the file name appears at the beginning of a stage, hold X
Play as Rage
When the file name appears at the beginning of a stage, hold Y
Play as Smarty