At the start of the game, you will spot two statues to the left, destroy those and take the power-up. The coins you are looking for are stored in statues like those. (All coins have 'B's on them)
Two can be found on the first level.
One can be found on the second level.
Two can be found on the third level.
You may want to avoid fighting the boss, he's actually kind of hard, so just search around the first three levels until you find the coins.
Make sure you save and save often! Whenever you make it to a safe ledge or collect a coin without taking a hit, make a save to avoid losing the very useful head power-up.
If you really need help, hit the Y button and select the special vials that do extra stuff, like extend your reach, or kill everything on screen.