In Contra Force, like a lot of games, one of the things that adds to the challenge is that your characters aren't able to jump infinitely high, kind of like in real life.
But you can work around that.
If you jump as normal (and hold down the A Button)
Then hit Start to go to your Status Screen (while still holding the A Button)
Then immediately leave the Status Screen, you'll jump again! And you can keep this up to jump pretty much as high as you want
It's really tedious to do, and it apparently doesn't work in some sections of the game, but it's better than nothing, right?