Enter the codes in the Cerebro Files menu. The code can be entered using either the control pad or control stick.

Code - Effect

Right, Right, Left, Left, Down, Up, Down, Up, Start - Training mission for Iceman.
Up, Up, Down, Down, Left, Right, Left, Right, Start - Training mission for Nightcrawler.
Down, Down, Up, Up, Right, Left, Right, Left, Start - Training mission for Wolverine.