When the phrase "Push Start Button" appears at the title screen, hold X + Select + Circle + Start. If you entered the code correctly, you will hear a sound. Immediately hold Up + L2, while keeping the previous buttons held. If you entered the code correctly, you will hear another sound. Then press Square, while keeping the previous buttons held. Now the course selection screen will appear.
Defeat all opponents in "School" mode. Then select "School" mode free trial. Hold Select + Circle before entering the Zero 4 (1-1) course to use the Sheep.