When you start the Normal game mode for the first time, you will enter stage 0, which you will see is a classic level from the retro days. Shortly into this level, a UFO will appear from the left or right hand side at the top of the screen. This is the only one you need to get. Shoot it down as soon as you can, there is not a lot of time to do this. If you dont get it first time round, you can restart the level from the level select menu in Normal mode. (it took me 4 tries myself!)
Once you have shot it down and the level has ended, you will enter the IG Normal mode. From here, you have to play on until you die (or quickly kill yourself 3 times) and get to the game over screen for this one to unlock, so once you have shot the UFO, whatever you do, do not quit out.