There's really no other way to say it, Adventure Island is tough. Due in no small part to the enemies that are placed in the most inconvenient spots imaginable. Though, you do get a skateboard (with helmet!)
Even worse is that you get a really small amount of lives to work your way through eight islands, each tougher than the last. Use them all up and...
It'd be pretty sweet, then, if you could continue somehow.
And you can! But not without some effort.
First, make your way to the end of Stage One. Specifically here.
Then walk over to the edge of the cliff and jump. Done right, you'll make an egg appear.
Crack open the egg (being careful to not knock it off into the abyss) and you'll find the Hudson Bee.
Collect the bee and when you get to the Game Over screen and are booted back to the title screen hold Right and press Start.
Boom! Continue!
And this works until you forget to do it and accidentally start the game over or you turn the game off.