Reach the end of the first stage, but don’t enter the castle. Instead, hop over the door and advance to the right. You’ll find a wall. Spin against it and aim for the third block from the base of the wall, partially breaking it in the process. Hop into the gap and continue right to pass through that opening and reach a small room. There, a menu will appear that lets you choose to continue play in any of the game’s other stages.