At the end of the first level, to the right of the end of level sign, there is a blue spring. Shoot the blocks around it with any weapon (avoid Launcher, you might hit the exit) to destroy them. Jump onto the spring and hold down the left and shoot keys. Repeat this as many times as needed until you shoot a hole into the wall. Follow the resulting passage. When you reach the end of it, shoot the wall on the left, and it will be destroyed, letting you enter a new area. At the far left of this area is a secret level sign.