Pause and type "IREM" (you may have to hold the 'Shift' key while you type it). You'll be given infinite lives and pressing 'N' will teleport you to the next level, while pressing 'B' will advance you to the next main guy.

At the end of a level, while the next one is loading, hold down the left mouse button, 'Delete' and 'Help' together. When the screen flashes you can skip levels by whacking one of the keys on your keyboard.