When you reach the ship, jump on board and follow the gold arrow inside. If you have trouble finding it, check the Hub Maps. Coronado, near the small island at the lower right corner of the hub. Once you've unlocked two characters with the required equimpent (see the Characters page for details), swim out to the S.S. (See the Game Intro and Super Bonus Level pages for details.) (Click any of the screenshots below to enlarge.) You'll need these, plus the ones in the Bonus Levels to unlock the Super Bonus Level. When you beat each Treasure Level, you'll receive a golden Artifact as a reward.
If you're having trouble finding the next level entrance, check the screenshots below or refer to the Hub Maps. In this hub, all the Treasure Levels begin in the exact same place as their Story Level counterparts. The entrance to the next unplayed Treasure Level is usually marked by a big gold arrow.