Mu is unlocked by completing the "True End" of story mode. In order to do this, you must complete story modes with each character, progressively unlocking other stories until you reach Hazama. The characters you'll want to use are...
After doing this, simply play through the "True End" path and unlock Mu. Afterwards, go in to a local versus game and simply select the blonde girl available in the middle of the character wheel and you'll have your trophy.