To unlock a comet you have to beat each level under a specific time limit.
Set your PS2's date to just before midnight on December 31. After midnight passes, you will receive a message from the King of All Cosmos.
After completing the moon, do the stage again and make the moon into stardust. This gives you a movie of the little boy saying how rich people are different.
After beating your friend in Space Mushroom, press triangle while the King Of All Cosmos is talking, to drop washpans on their head.
When you collect at least one of every object in the game, thus completing the Collection, the King of All Cosmos will give his praise as well as more balloons to carry the Prince on the Collection Menu.
When you get pushed through the floor by a moving object such as the swing with bears on it on Make A Star 4, The King will warp you to another area of the level for your safety and give a short speech about the Royal Warp.