At the start of any level, move Louie half way across the screen, then pause and press the B button. If you did this right (positioning is very important), You should see a message at the bottom of the screen that says "SHIELD AWARDED."

METHOD 2:

When the timer reads 299 press pause, then press button B (this is a more reliable method than method 1). In the beginning this always work, but not in later levels.