You will gain this achievement by completing level 1 with all 3 characters.
Start the game and select the first character (put it on Easy difficulty to make it faster).
Work through the level and complete it by defeating the boomerang guy.
Once level 2 starts press Back and save the game.
Once done reset the game (also from the Back menu) and repeat the process with character 2.
Finally do the same with the 3rd character and the achievement will unlock once you start level 2 for the 3rd time.