At the main menu, highlight "Practice Mode", then hold L2 and press R2 the indicated number of times to select the corresponding stage:
 
Stage R2 presses
Law (new) 1
Yoshimitsu (light snow) 2
Ling 3
Hwoarang 4
Lei 5
Ogre 6
School Stage (evening) 7
Jin (evening) 8
Nina (daytime) 9
Eddy (sunset) 10
King 11
Heihachi 12
Eddy (daytime) 13
Unknown 14
Law (old) 15
School Stage (daytime) 16
Jin (daytime) 17
Nina (nighttime) 18
Yoshimitsu (heavy snow) 19
Paul 20
Game Shark Codes
Master Code (Must Be On) ECA4F414 1456E60A
Infinite Health P1 1C121A5C 144D34D81C121A60 144D34D8
One-Hit Kill P1 1C121A5C 1456E7A61C121A60 1456E7A6
Infinite Health P2 1C1FD2FC 144D34D81C1FD200 144D34D8
One-Hit Kill P2 1C1FD2FC 1456E7A61C1FD200 1456E7A6
Unlock Everything 4CD61C98 1456B00C4CD61C96 1456B00C4CD61C9C 1456E7CC4CD61CA0 1456E7C34CD61CA6 1456E6A8