I have a few queries:

1. Can I play this game on the Sega Genesis Collection game for PS3?
2. How do I complete every level because I've only reached level 16 before Game Over'ing

1. I dont see why not (although there is no option to choose ps3 (or 2 or gamecube etc) yet). Guess they all somewhat belong to the emulator Platform.

2. There is a nice guide posted here http://www.speedrun.com/Flicky/guides but best thing may be to watch a complete run and practice level by level.