Unlock Cao Cao:
Clear the game with a Wei Warrior.
Unlock Liu Bei:
Clear the game with a Shu Warrior.
Unlock Lu Bu:
Complete the Musou ModeStory Mode with a warrior from each of the states, Wu, Shu and Wei. You will unlock three hidden lord characters, Sun Jian, Cao Cao and Liu Bei. Use any one of the unlocked lords and complete its Musou Mode. Now, you unlock Lu Bu.
Unlock Sun Jian:
Clear the game with a Wu Warrior.