First, start in season mode. J.R. will ask you if you want to challenge for the World/WWE title. Don't challenge, and every week go to to the General Manager's office and ask for a title shot. Later, you will have all of them but the World/WWE title. Start a new season and when J.R. talks to you, tell him that you want to challenge for the World Heavywieight Championship (RAW) or for the WWE Championship (SMACKDOWN) and you will have all the belts in your show (not the Women's Championship, of course).