There are 3 EX characters in STA2. To play as one of them, select the Full Version of Street Fighter Alpha II. Then go to the character selection screen. Hilight one of these people below and follow the directions.

EX Chun-Li: Hilight Chun-Li and hold Start for 5 seconds.

EX Zangief: Hilight Zangief, hold Start and press Down, Left(4), Up x2, Right(4), Down, X

EX Dhalsim: Hilight Dhalsim, hold Start and press Left, Down, Right, Up, X