Go to the Pause Menu and enter DOWN, UP, DOWN, UP, RIGHT, DOWN, RIGHT, LEFT. Then push START.
Go to the team management screen and enter RIGHT, LEFT, LEFT, RIGHT, UP, UP, UP, START.
Defeat the door machine, then the Four Horsemen. For this, you need Storm to be adequately powered to shoot lightning at range. When fighting Apocalypse, switch to Storm and fly up to the pole and remain there. She can blast Apocalypse but he can't hurt Storm so you can easily beat him.
The PSP version has these exclusive characters:
Dark Phoenix ... Clear the story mode.
Cable ... Clear all the Bonus Comic Book missions.
X-Man ... Clear all the Bonus Comic Book missions.
Cannonball ... Clear all the Bonus Comic Book missions.
You must finish Act II.
You must complete Act III.
Finish all of the the danger room missions.