Two choices are offered to you.
-You can select "Story Mode", "Wu" (for exemple), "select stage", "play stage"; and finish all the missions in the story.
-Or you can make the Story Mode by selecting "New", finish until the final scene, and complete the missions missed in Free mode.
But keep in mind one thing : You have to make almost all stage with a "star objective", and make a success of these objectives to unlock some battle.
Just for info. :
_ Wei story : 20 Stages
- Wu story : 20 stages
_ Shu story : 20 stages
_ Jin story : 20 stages
_ Other story : 8 stages
Whatever it takes, you will have to make all the missions in free mode for the trophy "A shout of Triumph".