Hold 1 + 2 on controller two when the screen with the gun appears. Then, press any button to access the sound test menu, level select, level skip, and extra lives. Use controller two during game play to advance to the next level or change the number of lives.
Note: This requires the Sega Scope and Sega 3D Glasses. Hold 1 + 2 and power on the Sega Master System.