This achievement is straightforward enough, you simply need to complete each level of the game.
You can use the games features to your advantage if you like, you can hit start and save whenever you like, you can set yourselves to have 5 energy (hit points) and 5 lives which is the maximum available and to top it off you have infinite continues. So you really shouldn't have any trouble unlocking this achievement.
There are a total of 9 stages you need to complete for this achievement. However some of these I wouldn't consider an actual stage, after every level you'll play a very short "in-between" levels stage, you'll see your character sleeping by a fire and imps will come and raid your potions, this is an opportunity to get some potions by attacking the blue imps and/or some health by attacking the green imps.
Once you've progressed through each level, defeated the final boss and freed the prisoners the achievement will unlock.
I've linked in some videos below which you can use as a guide for each level, they do differ slightly from the XBLA version but not much. Use them learn which enemies to expect and when to expect them and also for tactics on any parts you might be finding difficult. Lastly, while it may appear that I've only linked in videos up to stage 6, these videos will completely cover this game, it's caused by the XBLA title counting the "in-between" levels stages.
* Credit to Madamluna for the videos