Complete the indicated task in Superstars mode to unlock the  stage.

Alex Kidd: Complete "Get A High Score!" in the "Space Harrier" stage. 
Outrun: Complete "Hit Justice Shots" in the "Virtua Squad" stage. 
Space Harrier: Complete Tournament Singles in the "Space Channel 5" stage. 
Virtua Squad: Complete "Hit The Big Zombies!" in the "Curien Mansion" stage.