After you lose your last life you get a game over screen and then go back to the title screen. Use this code at the title screen to continue play on the last level you died on.
During gameplay, hold Up on Player 2's controller and Up and A on Player 1's controller. Then press B on the latter to enable the cheat. Any time from now on, you can skip the current level by holding B and pressing Select on Player 1's controller. (There are twelve levels in all - trying to skip Level 12 brings you back to Level 1.)