To find the hidden capsule to gain the Hadoken Fireball for X you have to get all Heart Tanks, Sub Tanks, Armor Parts (the arm part can be either the one from Dr. Light or the one you get from Zero in Sigma Palace 3) and beat every boss to gain there weapon. Go to Armored Armadillo's Stage and get through the whole stage without taking any damage then at the end dash off the flying platform and land above the entrance to the boss and the capsule will be there.