You can find the entrance to this stage slightly west of Peach's Castle, in the form of a well. This 2D platforming exercise felt more like a mean Mario Maker creation than an actual in-game stage!
To get the Moon, you must traverse a 2D world that'll pop you back into 3D if you ever "fall" out of it, making those spinning 2D backgrounds with shifting gravity pretty tough to navigate. What's more, they're orbited by Fuzzies, and you'll have to dodge barrages of Bullet Bills!
This stage left me exasperated the first few times I attempted it, and bewildered when it seemingly never ended. Perseverance is the key to reaching the Moon in this stage, just keep trying and you'll get farther and farther the more you do.