Music Test
First you need to have a saved game with the game completed, or you can use the Debug Mode code and turn on the "Game Completed" option. Then, to access the Music Test, either start a new game, or pick a saved game, and before the game starts, press UP + Start.
Rename characters
Enter a name for the main character if you wish (default name is Ian), then put the cursor on 'END' hold the Start button and press button 2, the next character will appear, give him a new name, then put the cursor on 'END' hold Start and press 2 again and the third character will appear, so just do it again for the third character and so on. Once all characters have been named the game will start.