First Samuri

Stage Select
At the Title screen, hit Start to reach an option menu.  At the 
option menu, simultaneously press and hold L, R, X, and A.  
The onscreen doors start to clise.  While still holding all 
four buttons, hit Right to reach Stage 1-2, Down to reach 
Stage 2-1, Left to reach Stage 2-2, or up to reach Stage 3-1.