That's funny you're having so much trouble with this one. Vigilante was one of the few SMS games I actually beat when I was a kid. It wasn't easy but not nearly as hard as some other games. Try beating Time Soldiers without using the continue trick or Miracle Warriors without a walkthrough (I had to use the walkthough for MW but I beat TS without cheating). Another one that always enraged me is Kenseiden. That game is so fun but there are a couple parts that destroy me every time.