The second Teenage Mutant Ninja Turtles game for NES is based off the first one for the arcade, try to not think about that too much.

But, since it's based on an arcade game, it's kind of tough, and there are button codes for level select and for bonus lives to help you out. But why bother with choosing one over the other when you can have both?

First, go to the title screen

Then (kind of quickly) enter the following code:

B, A, B, A, Up, Down, B, A, Left, Right, B, A, Start

You won't get a confirmation 'ding' or anything, but hit Start and choose your Turtle

If you put the code in right, you'll then be able to choose your starting stage

And when you start playing your chosen stage, you'll have 9 lives to play with

It's totally win-win!