Quickly press [Up(2), Down(2), Left, Right, Left, Right, X, Circle] three times after hearing "Suta Ato, Oshite ne" spoken. If you entered the code correctly, you will hear a clashing sound. Then, enter the character selection screen (not story mode), and press R1.
Play as Shinobu
Choose a difficulty of two or three stars and finish the game without using any continues. Fight Shinobu to complete the game. Then, go to Vs. mode and press R1 or R2 to play as her.