> To play as Alfred, get to the 8th stage without continuing or losing a round, and finish an opponent with a S.Power 5 times.  On the 8th stage Alfred will challenge you and after you beat him, you can select him.
(courtesy: GameFan)

> To play as Leo, first get Alfred selectable then in 2 player mode, highlight Alfred and hold the B button for 3 seconds.
(courtesy: GameFan)