Beat Hero Challenge Mode with any character, then go to the Techno Dome. Withdraw "G" to buy the yellow boxes here, which will unlock new options and FMVs.

First VMU Game
Beat Story Mode with any character to unlock Punches and Love, which you can find by going to Tatsumi's Techno Dome.

Second VMU Game
Beat the Story Mode with both of Dixen's pilots to unlock another VMU game, also available at the Techno Dome.

Third VMU Game
Beat the Story Mode with all of the character to unlock a third mini-game. This, too, will be available at the Techno Dome.