Press C, A, Right, Left, C, A, Right, Left at the main menu. When the game starts, press pause, then Up, C, Down, B, Left, A, Right, B. After this sequence, press and hold A and C.
First, you'll need to enter the Cheat Menu. Then, enter the following sequence: Left, Right, A, B, C, Left, Right, Up, Down, Left, Right. Then press Up and throw a star - you'll fly.