When selecting your character for a two-player game, with the cursor on Haohmaru, hold Start and move the cursor to each character in the following order:

Genjuro, Basara, Kyoshiro, Ukyo, Rimururu, Haohmaru, Shizumaru, Nakoruru, Hanzo, Amakusa, Gaira, Galford, Shizumaru

With the cursor on Shizumaru, wait until the timer reaches 03 and then press A and B at the same time. You will have chosen Zankuro and will be able to use him for the next match only. If you win with Zankuro, you will be returned to the select screen to choose another character.