From the main menu select "Skate Tours" and choose Tony Hawk's Pro Skater 1. Simply play through the levels, completing as many level goals as you can, as well as earning medals in the competition levels.
Once you complete enough goals (I think it's 51 in total) you will unlock the Roswell level.
If you go down to the Roswell level in the Level Select menu it will tell you how many goals you need to complete to unlock it.