To find the entrance to the Nightmare Level, choose the level of
difficulty as you normally would. Then, upon entering the difficulty
selection area, go right and through the passageway to the fourth
episode. You should come to a pool. Dive in, taking care not to fall
through, and paddle your way underwater until you find yourself in a
small niche in the wall. Drop down, and you should land on a beam
suspended above the floor. Follow it as it branches left, and a you
should arrive at a dark doorway in the wall. Jump from the beam and
through the door, follow the corridor, and you should find yourself
before the entrance to the Nightmare Level.