Hold L + R on the character selection screen to control the other player's selection. Hold L + R and press Y to select your opponent's character. That character will be CPU controlled at the current difficulty setting.
Hidden Option Mode
Start a one player game, and press X + A + L when the fighter's names are displayed.
Fight The Bosses
Highlight the "Story Mode" option, then hold L + R and press Start.
Configuration mode
Start match and finish the fight. Hold R + X + A at the continue screen until the next match starts. The configuration mode screen will appear.