Free Play
Successfully complete all of the training missions (every icon has three things under it) to unlock free play for arcade mode.

Get shot gun shells
Go on special mode and get 1500g (silver in boxies, plant pots eg) then go shopping. Choose weapons and pick the shotgun shells and then buy. Then go back and pick equip shot gun shells. Whenever you go on special mode you can use a shot gun(shot gun shoots slower but shoots off about 5 bullets and only uses 1 shell)

Unlock Hunters Files
Unlock the different Hunter's Files by doing the following:

Player Character Files - Finish Arcade Mode (multiple times)

Enemy Files - Kill/meet enemies (any mode except Training Mode).
Boss Files - Kill Bosses in all modes, including Training Mode.
Item Files - Buy/earn each item in Special mode.
Miscellaneous Files - Finish all missions in Special mode and complete Training Mode.