Go to the level selection menu. Hold Up on the second controller and press Start, Back, Back, X on the first controller.

Complete the last stage of the game across all three difficulty levels to unlock a set of codes. Each difficulty unlocks its own specific set.

Complete the Russian campaign to open the Making Of 1 FMV sequence.
Complete the British campaign to get the Making Of 2 FMV sequence.
Complete the American campaign to get the Making Of 3 FMV sequence.