In the continue screen, rotate the D-Pad in a counter clockwise direction until the sound test screen comes up. Inputing 00 will return you to the continue screen and if button 2 is held during choosing the various sounds, sounds 01 to 95 would be available.
Push in a clockwise circle to get free continues. Keep going in circles until time is about to expire, then hit button 1. This can earn you up to 12 continues. You don't have to get all 12 in one try. When those are expired, push the pad counter-clockwise to bring up the sound test. Hold button 2 and go right to sound 62. Play it 3 times then exit the test. Then resume the clockwise circles to earn more continues. After getting 30 more, you will need to replay sound 62 3 times again to get more.
You need to have 2 controllers and plug them both in. With the system off, on controller 1, hold Down-Right, and on controller 2, hold Up-Left + Button 1.
Turn on the system. After R-Type finishes flashing across the screen, you can let go.
This usually takes a few tries to accomplish.