Play as Alfred
To play as Alfred, get to the 8th stage without continuing or losing a round, and finish an opponent with a S.Power 5 times. On the 8th stage Alfred will challenge you and after you beat him, you can select him. 

Play as Leo
To play as the second secret character, Leo, you must have Alfred. In 2 player mode move the cursor over Alfred and hold B for about 2 seconds. You cannot play as him in 1 player mode, and he doesn't have any combos.