When you start a new game, you'll be asked if your want to play in yellow or gold mode. Gold mode is highly recommended for your first playthrough, and it's recommended to couple this with Am I My Brother's Keeper? for your second playthrough on easy.
The difference in the two modes is that gold orb mode will allow you to be revived on the spot (providing you have a golden orb). If not you can continue from the previous room you entered. Yellow orb mode will allow you to start off from the previous room you entered when you die as long as you have a yellow orb. However, if you have none you will be forced into restarting the mission. Beat all 20 missions on any difficulty to unlock this achievement.