Beat the game to unlock "Tournament" mode. Beat "Tournament" mode to unlock the arcade from the main storyline.

If you're lost and the compass isn't helping, you should be able to find your way through the levels by simply following the trail of enemies. Continue to move towards new enemies to progress through the stage.

When you are in maze castle or any other place that has you climb stairs to get through the level position Hiei towards the side of the platform where he is looking at the line between the higher platform and the one below and you can use Hiei's teleport move to go up and down platforms without climbing stairs.