During gameplay enter the following codes to activate the corresponding effect in the game.

Unlock Infinite Health:
Press X, X, Up, Up, Left, Right, Left, Right.

Unlock Infinte Grenades:
Press O, X, Down, Up, Left, Right.

Remember the location of the little dots on the map in the background when you load your game and then when the game begins go to where those dots were and you will find useful items that will help you.