As soon as the game starts, run to the right until you find the first pygmie. Don't engage him in battle, instead ask him about "ten pints" which will cause the pygmie to give you invinciblility throughout the entire game.
Invincibility: Method 1
When the last intro screen appears while the game is loading, hold down the joystick button and the left mouse button together until the disk swapping message appears, and you'll be invincible.