Sonic and Knuckles and Sonic 3 Level Select
Start a game of Sonic and Knuckles or Sonic 3 and leap onto a vine in the Angel Zone level. While hanging on the vine, tap "left," "left," "left," "right," "right," "right," "up," "up," "up." Pause the game and select "File" and "Restart." Press "down" twice when the title screen appears to bring up the level select menu.
Sonic 3 and Knuckles Level Select
Start Sonic 3 and Knuckles and play until you reach the first vine. Jump onto the vine. Tap "right," "right," "right," "left," "left," "left," "up," "up," "up." Press "Alt" and "R" at the same time to return to the title screen. Press "down" twice to enter the level select screen.
Character Select
Bring up the level select screen in any of the three games. Under the "Sound Test" heading, set the value at 00 to play as Sonic and Tails, 01 to play as just Sonic, 02 for Tails and 03 for Knuckles. Select a level to start the game with your chosen character.