I will make this as simple as possible. Just read the requirements below to unlock those characters.

Many characters can be unlocked by just having a Dynasty Warriors 2 save.

Shu

Zhuge Liang
Complete Musou Mode with a single Shu character

Jiang Wei
Complete Musou Mode with Zhuge Liang

Ma Chao
Complete Musou Mode with a single Shu character

Wei Yan
Complete Musou Mode with a single Shu character

Huang Zhong
Complete Musou Mode with any two Shu characters

Pang Tong
Rescue Pang Tong and win the stage with him alive at Cheng Du

Liu Bei
Complete Musou Mode with any two Shu characters

Wei

Sima Yi
Complete Musou Mode with a single Wei character

Xu Zhu
Complete Musou Mode with a single Wei character

Zhen Ji
Complete Musou Mode with a single Wei character

Xiahou Yuan
Defeat him at Mt. Ding Jun

Zhang Liao
Defeat him at the Battle of He Fei

Xu Huang
Complete Musou Mode with two Wei characters

Cao Cao
Complete Musou Mode with any two Wei characters

Wu

Lu Xun
Complete Musou Mode with a single Wu character

Sun Ce
Complete Musou Mode with two Wu characters

Sun Jian
Complete Musou Mode with two Wu characters

Gan Ning
Defeat Gan Ning at the Battle of He Fei

Lu Meng
Prevent his death at the Battle of Fan Castle

Taishi Ci
Defeat Liu Yong before defeating Taishi Ci on the Assault on Wu Territory stage

Xiao Qiao
Complete Musou Mode with either Zhou Yu or Da Qiao

Sun Quan
At the Battle of He Fei complete all the stage events


Other

Zhang Jiao
Defeat Zhang Liang, Zhang Bao and Zhang Jiao at the Yellow Turban Rebellion

Yuan Shao
Defeat the combined forces of Wen Chou and Yan Liang at Guan Du

Lu Bu
On the Allied side defeat 1000 at Hu Lao Gate

Diao Chan
Defeat Diao Chan at Hu Lao Gate

Dong Zhuo
Defeat Lu Bu and Diao Chan at Hu Lao Gate

Meng Huo
Defeat and capture him seven times at the Nanman Campaign

Zhu Rong
Defeat Zhu Rong at the Nanman Campaign

Fu Xi
Complete Musou Mode with Cao Cao, Liu Bei and Sun Jian

Nu Wa
Complete Musou Mode with Xiao Qiao, Da Qiao, Zhen Ji and Sun Shang Xiang