Unlock option to choose number of lives
Go to the options menu; select and play in this order:
BGM 2
SE 8, 7, 6, 6, 8, 7, 7, 4
Right after the last SE you should hear a short tune signifying the code worked, and a new option, Spriggan, will appear on the screen for you to select the number of lives (up to 9).