Ah... This is what makes it such a fun game =D
Now, do you mean the Wii or DS version? Assuming you're talking about New Super Mario Bros. DS, here is what you have to do to unlock each world:
For World 4: Go to the final castle in World 2 (NOT world 3). Somehow you will need to enter the boss (the sand wiggler) as Mini Mario (the small blue mushroom), and then beat him. If you are still Mini Mario, you will enter World 4.
For World 7: Go to the final castle in World 5 (NOT world 6). Like before, you will need to enter the boss (the Piranha plant) as Mini Mario, and then beat him. Like before, if you are still Mini Mario, you will enter World 7.
Also, you can get the small blue mushroom near the end of the World 2 castle, so its actually pretty easy to get to World 4. If you lose simply enter the stage again and it will be shortly after the flag point. For World 7 its not quite so easy.
