At the options screen, highlight the "Movie" selection. Press Left, Right, Left, Right, then hold L1 + L2 + R1 + R2 and press Start. For the Japanese version of the game, press Down, Up, Down, Up, then hold L1 + L2 + R1 + R2 and press Start.
Accumulate over one hundred continues, then enter the options screen and change the "Credit" option to "Free Play".
If you were looking for G-Darius for PSX cheats, then you might also want cheats for: