To unlock this achievement you will need to find all the alternate exits which are located throughout many different levels in the game. There are 19 alternate exits to be found.
You can check if a level has an alternate exit by clicking on the level and looking on the bottom left of the screen, at the picture of a door with a red arrow, under the skulls and blueprints. If it says 1/1 or 0/1, then the level doesn't have an alternate exit.
Each alternate exit you find will unlock an alternate entrance for another level. Just follow the dotted line on the map and it will point to the level with the new entrance.
The levels with only 1 alternate exit are : 1-2, 2-3, 2-4, 3-2, 3-3, 3-4, 4-1, 4-4, 4-5, 5-1 and 5-4.
The levels with 2 alternate exits are: 2-5, 3-1, 4-3 and 5-2.
For 1 of the alternate exits on 2-5, you will need to have found all 72 skulls. This will unlock the hidden level, 5-5.
Note: Not all alternate exits are available by simply following the level. Sometimes you need to unlock an alternate exit on a different level first, which will unlock a new entrance on another level that then leads to the alternate exit (For example, you need the alternate exit on 4-5 to be able to get the alternate exit on 4-4 using the new entrance).
Any questions? Feel free to comment or PM me.