With the game in slot 1 and one of the Konami Game Master cartridges in slot2, the game will give you the option to start at a higher level and/or with more lives.
Tip
Permanent time stop
After defeating a boss, ignore the falling orb and wait until the stage clear music is almost over then use the hourglass sub weapon. From the next level the hourglass's effect is permanent and all enemies are stationary. The final boss does not move either, so use the hourglass again or die once to dispel the time stop then fight the boss.