First enable the Level select code. Then select the bonus level option on the level selection screen. Then Obtain the Chaos Emerald and reset the game then repeat the process until all of them are in your possession. After this allow the game to continue after getting the last Chaos Emerald to start in the Green Hill Zone.

To select your level press Up, Down, Left, Right atthe title screen. If you enter the code correctly, you will hear a sound rewarding you. Then Hold A + Start to begin playing on any level you wish