To unlock the Lost World, you must pass the first world. In the all the other worlds, you will start to find a ''Klubba's Koisk'' in each world. When you visit one, a Kremling named Klubba will ask you to give him 15 Kremcoins to enter The Lost World. If you do give 15 Kremcoins to Klubba in a particular world, you will unlock one particular level of the Lost World.

Effect	How to unlock
"Animal Antics" Level	Give Klubba 15 Kremcoins in "K. Rool Keep"
"Black Ice Battle" Level	Give Klubba 15 Kremcoins in "Krem Quay"
"Fiery Furnace" Level	Give Klubba 15 Kremcoins in "Gloomy Gulch"
"Jungle Jinx" Level	Give Klubba 15 Kremcoins in "Crocodile Cauldron"
"Klobber Karnage" Level	Give Klubba 15 Kremcoins in "Krazy Kremland"
"Krocodile Kore" Boss	Beat the game and all 5 Lost World levels.