I have never tried this game before I bought it at Game Over Videogames for 10$. It's kind of weird.
I reached STAGE 2. The game seems to have infinite continues.
I learned that you can reuse the ladder item - you can pick it up by crawling down to the ground instead of jumping off. Furthermore, you select items by pressing left and right and activate pressing Select, which can be performed while the game is paused.
On the title screen, you can increment the starting level number by pressing
Right, Select, A and B on controller 1, and
A on controller 2
Since the game has infinite continues, using this to resume a level you already reached is more or less equivalent to leaving the game turned on. However, continuing will give you the added benefit of keeping any items you have accumulated. Using the level select cheat will start you with 0 items.