At the character select screen, move the cursor to Zangief, then press L, L, D, D, R, R, D, D, L, L, U, U, U, U, R, R, L, L, D, D, D, D, R, R, U, U, L, L, D, D, R, R, U, U, U, U, U. A Golden version of WarMachine should apear above Zangief.