It's in stage 3, near the very beginning. You know when you have to fight those big armored walls? The thing that have two shutes that torpedos come out of? There you will see above and below some big openings you can go into. I think it's the first wall like that you come to, it's going to be on top. First time I did it, it was by mistake.
Sorry if I'm not explaining this too well. That's the glitchiest part of the game, up in there. When you shoot a lot on that section of the stage, you're treated to some odd glitching.
Good luck,
Spike