There are 7 worlds that have 9 stages and a two part boss battle at the end. After beating the boss in world 6, the game will end but the achievement will not pop. You have to go back into story mode and continue. Now world 7 will be available to play. Sadly playing on Veteran difficulty first will not unlock the beginner difficulty achievement like other games do, so you will have to play the story three times if you wish to unlock all the achievements.