Wait until the helicopter demo ends, and wait untli Duke's eyes show up. One of the eyes will disappear followed by a flash over the eye, hit start when the flash ends. Now press and hold Up+A+B on controller 1 and press and hold Up/Left+A+B on controller 2 and hit start.
Life-to-Ammo Conversion
If you are in a maze with fewer than 10 bullets remaining, especially if you are totally out of ammo, which can render you defenseless and unable to fight in a maze, press SELECT to convert 1 LIFE to 1 AMMO.