In order to achive this simply highlight any mission that has a shuriken(Throwing star) beside it. Now press and hold "SELECT" while choosing the mission.
In order to be able to play as one of the Bosses press and hold the "START" button on the second controller before selecting the mission. Now keep holding it down until the mission begins. You can now play as the Boss with the second controller.
At the Main Menu first highlight the second choice and then enter the following code.
Beat the following missions to unlock the associated Videos. (Every 10 missions has an unlockable video)