All you have to do for this is collect all of the movies and interludes. Comes from just playing and beating all episodes in the game.
EvoHero points out -
For this and the achievement for getting all the CG and the illustrations, the achievements did not pop up until I entered the extras menu. If they didn't unlock for you at the conclusion of beating the last episode, give that a whirl.
Edit: It was pointed out by wiirule111 that playing on easy will not get you all of them. I played on Normal and got this achievement so hard is unnecessary unless going for other achievements as well.