At the Character Select Screen, highlight Zangief. 
Then press Left, Left, Down, Down, Right, Right, Up, 
Up, Down, Down, Down, Down, Left, Left, Up, Up, Up, Up, 
Right, Left, Down, Down, Down, Down, Right, Right, Up, 
Up, Up, Up, Left, Left, Down, Down, Down, Down, Right, 
Down. If done correctly, Lilith will appear below War 
Machine.