The following location must be found to enable cheat mode. After game play begins, move to the right until reaching a location with a teddy bear. Face the wall and press Circle to jump in that direction. A muted sound will confirm this portion of the code. Move forward and walk in the next room just to the right of this location, which leads down into a small room. Press Circle to access a platform. Use this platform to reach a playroom and activate cheat mode. The following codes may now be enabled. 

Invincibility  -  Press X(4), Triangle, Circle, X, Square on controller two during game play. 
All weapons  -  Press Circle(3), Triangle(2), X(2), Square on controller two during game play. 
Level select  -  Press Triangle(3), Square(3), X(2), Circle on controller two during game play. 

Gameshark Codes

Infinite Health
8013BAFC 0400   8011 87BC 0400 

Infinite Grenades 
8013BA60 0003 

Infinite Ammo 
8013BAEA 0074   801187AA 0074 

Infinite Fire/Bullet
80118738 000F 

Infinite Health 
800A3AD0 0000   800A3AD2 0000 

Mission Select Option
D00D2230 0102   800D2092 0001   800D2010 0001 

Infinite Energy And All Weapon Available 800D2010 0001