The four heart pieces are located in the ROOFTOPS, HELL, CUTESEY LAND, and SHEET MUZAK
Guide the Harlequin to the jigsaw puzzle section whilst carrying the space hopper. When you fall from the kite, select the space hopper and jump up to the lower of the two platforms above you. Disengage the space hopper and jump across to the other platform, then leap over the low wall. When you land, keep on firing to see where the ground is and move across to the point where you're walking on air. Run left until you cannot go further, jump up and you'll hit an invisible warp. You'll be prompted to insert disk 1, and now you can watch the end sequence.