First, go to the Options menu from the main screen. From here, head to the Sound Select menu and play the following sounds in the order they are placed below:

19
65
09
17

Once you have played each one (1 time only), press the C button and then press Start to be brought back to the title screen. Now, when you see Sonic and Tails (Miles) appear on screen, hold down the A button and press Start while holding A to finish off the code. You will be brought to a menu where you have access to play any level in the game, whether you've completed the level you wish to play or not.

(I only copied and pasted that... )