First level after the tutorial there is 3 things to collect and 1 to change color. Do all these and return to the finish square (within the time limit) for the achievement.
The 4 targets are:
1. Completing the level.
2. Completing the level with 100% Mercury level.
3. Collecting all bonus items in the level.
4. Completing the level within the time limit.
Thanks to MysticWierdo's comment.
Mental Knight 5: You need to select a save device (HDD) for achievements to unlock*