There are only five objectives in each level (passing the level, collecting all balloons, collecting the hidden star, finishing under the par time and finishing without losing a life), so you will need to do all five in a single run. This may seem hard when you first get to these levels, but if you have unlocked bonus levels, you can get some protection. Each bonus level has a hidden item giving you protection from losing a life. The first level gives you three hit protection, the second gives five, the third gives seven and the fourth gives nine. If you haven’t unlocked at least the third bonus level, I would recommend going back and getting more level stars, since there are a lot of hazards that require precise avoidance on these levels. Plus, having the freedom to screw up a few times allows you to get through the levels a lot faster.