Throughout the game, there are several secret exit markers that lead you to secret stages (six in the first four episodes). They will be gray instead of red and will often be in hidden locations. The earliest secret episode you can access is in Episode 1 entitled "Launch Facility" and is accessed from the fourth level, "Toxic Dump". After completing most of the level, you'll find yourself traveling along a river of sludge taking out Octobrains. Keep an eye on the left wall for a crack (it will be lit up) and shoot it with either your RPG or pipe bombs. Open it up and you'll find the secret level exit. However, keep in mind that you will not get the trophy until you actually complete the secret level.