Enter DoggieStyle as a case-sensitive name to unlock all bonuses.
All cheats and skins are unlocked by playing on Supercop difficulty.
On the last level you have to face two people, a boy and a girl. If you beat them you unlock that guy and his mansion. That means when you play against another player you can pick that guy and have a shootout in his mansion.
Complete these chapters on Rookie/Normal to unlock the bonuses.
It's simple. First, the host must create a game. Choose all the settings, etc, and actually start the game. Then, pop out the UMD, and give it to a friend. Your friend simply loads up the game on his PSP, and then joins your game. This can work with several people in the same manner. However, setting the frag limit high is a good idea, because once the game is over, you have to redo the whole process, because the game needs to load again, and cannot without a UMD.