On the snow level, after you see the first metal pyramid, turn left.
On the lava level, once you passed the first flying drones, go left; when you're on the moving plateform, the key is where the drones are coming from.
On the water level, in the room with many little files, go in the corner right.
On the forest level, go right just after the bridge.
Also you can unlock an other level in the lobby(HUB) room. When this level start, go fast right look up kill the drone; take the gate(teleporter) and look up, kill the drone. There should be and sound effect. Now check all the wall, there sholud be an entrence, close to green emerald.