Hold these buttons at beginning of each stage to activate the weapon:

Stage  Weapon    1P side         2P side
 1     Shotgun   down            A 
 2     Shotgun   A               B 
 3     Laser     upright+A+B     down+B 
 4     Shotgun   downleft+B      leftup 
 5     3way      A               upright+A+B 
 6     Auto      left            right+B 
 7     Shell     upleft          down 
 8     3way      left+A+B        A+B 
 9     Laser     downright+A+B   rightdown+A+B 
 10    Shell     upright+B       downright 
 11    Auto      upleft          upright+A 
 12    3way      right+A+B       rightup+A 
 13    Auto      up              down 
 14    Laser     upleft+A+B      right+A+B 
 15    Shell     downright+A     down+A 
 16    Auto      right+A         left