Start a game, kill the first two aliens and enter the room from which they came from. Then, enter one of the following codes:
Hold L1 + L2 + R1 + R2 + Triangle and then quit your current game. If you entered the code correctly, you will see a green light. Then, go to the opening screen where you can now choose a starting level from 1 to 16.
InvincibilityHold L1 + L2 + R1 + R2 + X. If you entered the code correctly, you will see a blue light.
All weapons with infinite ammunitionHold L1 + L2 + R1 + R2 + Circle. If you entered the code correctly, you will see a red light.