From the main menu select story mode. I recommend turning the difficulty to easy, or using 4 controllers to minimize challenge and risk of failure. Especially if you are intending to get this one:
The Story Superstar achievement in Rio worth 107 pointsComplete Story Mode, coming 1st in each minigame. Achievement will pop once you complete all 3 minigames in each area of the game, I believe there are 10. Best of luck.