Start a 2-player game and die immediately. Switch back to 1-player mode and voila.
Begin a 2 player game. Play until both player 1 and player 2 have achieved high scores. Then have player 1 lose all of his/her lives. On the high score list, enter your name as ALIEN. When you continue, player 1 should have infinite lives. Having player 2 lose all of his/her lives will have the same effect.
Press the following when the "Start" and "Configure" options appear on the title screen, before the Alien 3 logo fades out. U=Up D=Down L=Left R=Right