Play the game until you reach level 2-1. 3-1, 4-1 or 5-1 and then die. Enter your name in the High Score Table as BEG. Now, when you start the game again, you'll begin on the level you last reached (2-1 etc) with 3 full lives.
If you have more than three lives to start with, it's not worth the hassle of dying! Anyway, this cheat is cleared when you reboot the computer!