When you get the helmet, press Up, Up, Left, Left, Left, Left, 2, 1. If you did it right you'll be wearing the helmet and are now invincible.
Did you miss an item in Coco Island and think it's too late? If the Battle Fortress has already risen, go to Lake Rocky and go the Coco Island route. You will be at Coco Island, but Tails head on the map will be in the ocean.
Level Password
2 D2D1 D4D4 AE11 D6E1
4 E721 DC70 BC90 D64F
* AF25 6828 5DB4 7C00
* All Levels open except "Battle Fortress"