At the title screen, hold Select until "HARD" appears on the screen.
First enter the coded to access the stage select option. When the screen comes up and asks you to select what stage you want to start on, press and hold the select button. After a second or two, the stage select option will become a sound test menu. Allowing you to listen to various "songs" and sound effects of the game. When you're done listening to your fill of music, hold select again to change it back to the stage select menu.
When the prologue starts up and there's a house in the rain, press Select 3 times, followed by pressing and holding down-left on the directional pad and then press button 1 or 2. It'll bring up the option to select a level.