I copied my save over from the Xbox 360 version and used a high level character to defeat the Evil Wizard in the Final Battle level, at which point the achievement popped.
It seems that the actual requirement for this achievement is to have played through every level with a character and then defeat the Evil Wizard in the Final Battle level. So if you copy your save file over and you have a character who has played through every level already, you'll just have to play the Final Battle level and defeat the Evil Wizard. If you are starting from scratch, you'll have to play through the entire game on your way to beating the Evil Wizard because piggybacking with a friend to the Final Battle level won't be sufficient.