Go in the first doorway where you start and you'll find five objects. Collect them in this order:
If you have James Pond 2 Plus then there's an extra sub-level on the first level you come to from the start, which isn't in the original James Pond 2 version. Go all the way to the right of the level, extend up and then drop down onto the platform, then jump up at the big square block, jump in the car that comes out and travel all the way to the left. You then get to a level on which you can get infinite lives by collecting five objects in the following order:
Incidentally, when you have the invincibility cheat on, don't pick up the silver body armour suits you find because they don't last as long as the invincibility cheat.
Thanks to Alexander T. Smith for these hints.