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Shu - Tales
Heroes of the Han
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Requirements: Clear Shu's Musou Mode once. Select Battle of Hu Lao Gate 
first, do not defeat Lu Bu, and defeat Dong Zhuo. Bill (wmwhorton) writes in 
to mention that Dong Zhou can retreat and you can still get this stage.

[Battle of Ru Nan]

If you're playing as Guan Yu, Zhang Fei, or Zhao Yun, you'll need to meet up 
with Liu Bei as soon as possible. Otherwise you'll start out right next to 
Liu Bei. Proceed to the castle, clearing out the enemies and generals along 
the way. Xiahou Yuan should show up behind you, but at this point he's not 
very strong so you shouldn't have any problems with him. Zhao Yun should show 
up to assist Liu Bei (that is if you're not playing him). Head for the castle 
to rendezvous with Zhang Fei. Xiahou Dun should appear to the north. Engage 
the generals in the castle, who at this point should be Xu Zhu and Yu Jin, 
and maybe Yue Jin. Zhang He should be by the west gate. Defeating him brings 
Guan Yu into the fray from the west. Once all the Shu generals are here you 
should have no problem clearing out the remaining Wei forces. From there it's 
a short jaunt to the north where Cao Cao is waiting.