At the Virgin logo screen, press Up, Up, Up, B, B, Y, Y, Select, Up, Down, Left, Right, B, Up, Y, Left, Select, Down. If you did the trick right, you'll hear several tones. Now go to the Options screen, and you'll be able to access the Stage Select option.
Make Mowgli Fly
First, do the level select code. Now, select cheat 5. Then start the game. Hold down the top L button. Mowgli will fly.