Mega Man III Cheats

After destroying the shield robot with a powered Mega Buster, holding buttons on the d-pad can turn them into the item you want.

Hold Up = Big Health Orb
Hold Right = Little Health Orb
Hold Left = Little Weapon Energy
Hold Down = Big Weapon Energy

NOTE: You have to hold those buttons while the enemy blows up. The best place to do this is the first room with the single shield robot in Dust Man's stage.