Enter the Option Mode, and highlight "Exit." On Controller 2, hold L, R and Start, then press Start on Controller 1. Use Controller 1 to change your selections by pressing Left or Right. The special option screen gives you a "Floor Select" option that does not work when you first turn on the game. It will work to get you back to the last floor you were on.
For example, if you played normally and reached Floor 40, when you get defeated you may use the code to begin at Floor 40.