On the title screen, type "SPARKPLUGS". The word cheat will flash in the middle of the screen. This will give you unlimited lives.
Press the "/" on the neumeric keypad to skip levels.
How to defeat the end-of-level guard that looks like a bulldog: Watch his hand, and when he has moved his finger three times it means he will reach for his gun - so shoot as quickly as possible. Next time he will fire at you after moving his fingers five times, and finally four times. By anticipating all of his quick-draws in this way, you should always manage to kill him.