This simply means collecting all data crystals and picks, it doesn't include the Rob Zombie pieces.
Make sure to pay attention as you're going through the levels. When you see pick or data crystal measures, quickly use your blast attack to pick them up. If you don't have enough power to use a blast attack, pause the game and look at the notes and unpause and try to play them as fast as you can. You have to pay attention because some of these disappear very fast (in some cases in less than 1/2 of a second, no joking).