Let your character die, then push L and R when selecting and hold until your character reappears.
On the Main Menu screen, move the cursor to the number of players you will be using, push L, R, >, >, <, <, and then L and R together and hold. Continue holding L and R until the Character Select screen appears.
Enter the following when on the Mission Briefing screen with a controller inserted into the 2P slot.
You must hold all the buttons, including the final directional button until the screen ends.
Hold down L and R when selecting a character to allow the same character to be used by both players.