The intended way to open the cheat menu is to enter the konami code and press enter at the end x) glad you've enjoyed the game! I agree that the first song had a difficult beginning, but unless you're doing a perfect run I thought it was fine.
Also, Jesus Christ those perfects on level 2 and 3
Edit: if you wanted, you could have just edited the settings file in the user directory, the "cheats enabled" flag is there!