After you beat Shao Khan you will come to the UKK screen. At the UKK Code Screen press the following:

Controller 1: Square x1, R1 x9, Triangle x2
Controller 2: Square x2, X x2, R1 x2, O x3, Triangle x4

Shao Khan will say excellent. The screen will start flashing through all the stages. Now you will be at the Portal Stage with Smoke in the middle. A message will say, "From now on, I will be at your disposal." Look at the character select screen, and you shall see Smoke in the middle of the screen. Smoke is not savable to your memory card!