The key is not to play in exhibition mode. Exhibition mode is a waste of time and/or a way to get familiar with how to do certain moves to win the match - without penalty. Go to matches where there is one on one action. The ones to play are Queens, Street Fight, Arena, and Skyscraper. If there are more than two players, back out and go to only one on one matches. You must play all the Roses in order to get to the title match. Be aware that this does not necessarily unlock anything. However it may allow you to play as the alternate player and/or will unlock a costume.