When you start the game, you always default to Batman and Robin in the mission selection room of the Batcave. If you haven't found the Villain episodes yet, take the left-most elevator up to the next section of the Batcave. Cross back over to the right side, take the lift up half a screen and pull the lever you find (near the green monitor that shows Riddler and Clayface).
Now you are inside Arkham Asylum and can walk all the way to the left until it loads the mission selection screen. The Penguin's submarine is the link to Episode 2. Complete all five acts and the Achievement will unlock.
It is not necessary to obtain Super-Villain status in all acts to earn this Achievement.