Level Select
Watch the 4th demo (Stage 2-4) entirely. After that, in title screen hold A+C+Left, then press Start to gain access to the Level select menu.
Start with 10 Men
At the title screen, press B, A, B, A, A, C, A, A, then START.
The Genie has more
Burning Force Cheats at CheatingDome.com.