One of my favorite long play games from the NES. The game does not start at stage 1 and then move up. It is more like Goonies 2, you can start anywhere you want for the most part. There are hidden items all over so shoot the walls and platforms.
Look for music boxes which are a side quest that you have to collect as many musical notes as you can. But don't pick up flats they will minus your score.
Honeycomb items will restore your life completely and extend the health bar.
If you are looking for more info check out the fan site, search on google for "Milon's Secret Website" (sorry no web links allowed) for a manual, game genie codes, and help in the game.