Infinite Bullets 
In the NYPD go downstair and enter the left door. You can find the bullets in the box near the
counter get it and go out to the New York map. Now return to that room for more bullets. Repeat
as needed. 

The Missing Building 
After you win you'll be asked if you wish to save. Do so, then reinsert CD #1 and choose the EX
game. You'll now see the Chrysler Building on the Manhattan map. Go inside and make your way
to the top to see the real enemy and ending.

Extra Gun:
Collect 300 pieces of junk you could have the guy at the police station make you a gun.