This feature becomes an available option at the 'Main' menu when you complete ALL the levels and save ALL your friends. In Uranoid mode there are a total of 9 zones to buy (from Alpha to Iota of the Greek alphabet). When you have brought at least 7 of them you will be able to play one entire game of 7 zones and 35 stages. The map will only branch out at the last zone when you buy 8 or more zones.
If you want to play a certain level without going through the game to get to it then at the 'Start' screen hold down 'Start', A and B and when the level number you want to play is displayed release the buttons.
This little trick will save you a lot of time if it is performed correctly. What you have to do is when you get a 'Game Over' and return to the 'Title' screen hold A and B while pressing 'Select' 5 times followed by 'Start' and you will restart the game at the level you got a 'Game Over'.