To unlock Challenge Mode, complete Story Mode using Raphael, Michaelangelo, Donatello, and Leonardo.
Use the following key when entering passwords:
L - Leonardo
M - Michaelangelo
D - Donatello
R - Raphael
S - Shredder
Note: To use alternate costumes, hold L or R when selecting your character.
To get alternate holiday-themed costumes, you must change your system's date. On December 25th, the Turtles get Christmas costumes. On October 31st, the Turtles get Halloween costumes.