To activate cheats :

At the Password screen press Square, Triangle, Circle, X, Circle, Triangle

You will get an 'Invalid Code' message. That's fine.
Now go back to the Password screen and enter the following codes.

Invincibility:

Triangle, X, Triangle, Triangle, Square, Circle.

Unlimited Shield:

Square, Circle, Circle, Square, Triangle, X.

Level Select:

Circle, Circle, Triangle, X, Square, Square

Movie Test:

Square, X, Circle, Triangle, Circle, X.