Collect different parts during the game then at the prompt, combine them.

Unlockable	How to unlock
Heat Seeking Warheads	Collect 700 Parts
Hyper Plasma Ball (1)	Collect 300 Parts
Hyper Plasma Ball (2)	Collect 400 Parts
Plasma Artillery (1)	Collect 200 Parts
Plasma Artillery (2)	Collect 300 Parts
Plasma Ball (1)	Collect 100 Parts
Plasma Ball (2)	Collect 200 Parts
Rocket Launcher (1)	Collect 500 Parts
Rocket Launcher (2)	Collect 700 Parts
Shock Wave (1)	Collect 400 Parts
Shock Wave (2)	Collect 500 Parts
Spread Shot (2)	Collect 100 Parts