On the Player Select screen, hold the L and R Buttons and press Start. The screen should go black. When this happens, release the L and R Buttons. This allows you to select an entirely new set of mazes to work through.
Game Setup Screen
Select the number of players and the "Cyberzone" mode. On the Difficulty screen, hold the L and R Buttons and press Start. Then let go of all buttons to enter the Game Setup screen. You can make changes on the six given options: Starting Level (Up to 41), Armor (0-20), Shots (1-5), Speed (1-7), Lives (1-99), and Reload (0-15).