Stage Select
On the Title screen, press Select to switch to the Options Select. Simultaneously hold the L button, R button, X, A, and a direction on the Control Pad (see below). When the screen switches to the new stage, you can let go of the buttons. The stage you go to depends on which direction you hold:

Stage 1
Battlefield 1730 - none
Time Express - Right

Stage 2
Tokyo 1990 - Down
Time Express - Left

Stage 3
Demon Palace - Up