Go to the 2nd to last stage in the 'Zero' stages. Find a big hole and jump down and go right. If you have jumped into the right hole there will be a capsule (only if you come to this stage un-armored). Dr Light will give you the cheat armor from Rockman X4. If you are Zero he will give you an upgrade which changes Zero from red to black. His 'Z Buster' will be longer aswell.