C-Left, C-Down, C-Right, C-Up, Z, L, R, C-Left, C-Down, C-Right, C-Up.
A weapons noise will confirm that you've got all the weapons.
Stage Select Cheat
Need even more help? How about a cheat that unlocks each and ever stage in the game! Simply enter the following code at the Stage Select screen (the static screen that shows you the level name, after the intro cutscene):
C-Up, C-Right, C-Down, C-Left, R, L, Z, C-Up, C-Right, C-Down, C-Left
A scream will confirm that the level select cheat is now enabled. Use the analog stick to select stages and worlds at this screen. You can enter this and the All Weapons code before any level.