Released: Mar 26, 1992
Most of the other cheats are for the Japanese version of the game, but you are still able to start the game with 7 lives in the Non-Japanese version if you head over to the "Option" menu and change the player lives from 03 to 07.
If you feel this game is too hard for you (as most do), head over to the "Option" menu and lower the game difficulty to Easy. If you already beat the game before and know what to expect, you could always raise it to Hard instead.
In order to skip levels in Contra III: The Alien Wars, you must gain a life as you lose your last one. Instead of triggering the game over screen, gaining an extra life will trigger the end of the level screen.