Gunfighter: The Legend of Jesse James PlayStation 1 Cheats

Cheat menu
Go to the main menu and HOLD the Left analog stick until a small box appears. While still holding Left Analog stick press Triangle, X, Square, Circle, Circle, Square, triangle, X. Now start a new game and press START to show the options and cheat menu.

Extra continues
To get extra continues just shoot the wanted sign during the game.