First, when you get up to Buu Saga, goto the Plains near Goku's House. After going there, fight Gohan as Majin Vegeta. After you finished fighting him, keep going through the red parts of the map until you hit up to Kid Buu. Let Kid Buu beat you, then put No in the Continue screen. After that fly a bit back, and you'll see 2 reds touching eachother. Go push X on the left one, and you can fight Buu agian, but when you win, you can fight Broly.