Simple and easy. On the title screen, just press A+START.
Use an hex editor and edit line 12280 offset 1 and set it to 01.
On the level select screen press B+START. Note this work in only some zones. This can only work on the emulator DGen though since it's the only one supporting split-screen.
On the level select screen press C+START. Note this work in only some zones.
