Just simply complete Musou mode with the said characters to unlock the right chracter.

Other: Yuan Shao - Dong Zhuo - Complete Musou mode once with one character from each kingdom
Other: Lu Bu - Diao Chan - Zhang Jiao - Meng Huo - Zhu Rong - Complete Musou mode with any default Other character.
Shu: Zhuge Liang - Lui Bei - Pang Tong - Complete Musou mode with any default Shu character.
Wei: Cao Cao - Cao Ren - Sima Yi - Complete Musou mode with any default Wei character.
Wu: Sun Jian - Sun Ce - Sun Quan - Complete Musou mode with any default Wu character.
Wei: Zhang He - Zhang Liao - Xu Huang - Complete Musou mode with Cao Cao
Shu: Jiang Wei - Huang Zhong - Wei Yan - Complete Musou mode with Liu Bei
Wu: Da Qiao - Xiao Qiao - Complete Musou mode with Sun Ce.
Wu: Zhou Tai - Huang Gai - Lu Meng - Complete Musou mode with Sun Jian