Start a game in the Vs. mode. At the character-select screen, press and hold Start on Controller One, then move the cursor over these fighters in the following order (your cursor starts on Haohmaru): Genjuro, Basara, Kyoshiro, Ukyo, Rimruru, Haohmaru, Shizmaru, Nakoruru, Hanzo, Amakusa, Gaira, Galford, and Shizmaru. Continue to hold Start and simultaneously press u and p. If you did the trick correctly, Zankuro will appear as a selectable character.