After Burner II - MB Cheats
Press A + B + Select at the game over screen.
Press Left(3), B(3), A(3), Start at the blue After Burner screen after losing your last life. The game should resume at the last level played.
Successfully complete the game, then return to the main menu. Begin the game again to play with an increased difficulty.
Hold A + B on controller two and press Start on controller one.