Warp zones are the purple portals you see on a few stages in each chapter. They close after a short time, so you must reach them before they vanish, otherwise you must restart the stage to try again. There are four in each chapter (3 in the light world, 1 in the dark world), so you can get this once you've opened up chapter 2. The first five you encounter are on stages 1-5, 1-12, 1-19, 1-13X, and 2-8. Simply complete all three stages of these (or any other) five warp zones and you've got it. If you're having trouble with any of these, there's a complete list of the warp zones with locations here:
http://www.xbox360achievements.org/forum/showthread.php?t=26...While getting this, you'll also get these along the way if you don't have them already: