Hit Lo with an attack before you fight him outside of Lo's Cave.
During the fight with Jen (second time) using Li Mu Bai, find the bell and break it.

The Turtle Stone should fall out.
Successfully complete the game to unlock the mini-games, FMV sequences, movie

sequences, and survival mode.
Successfully complete a level with an "A" rank to unlock a film clip. The ratings used to determine your rank include: special moves, combo blocking (L), and continues used. The easiest way to do this is to do specials on Bosses or block a lot of their moves. Also, watch the health meter. With the survival mode, just play a New Game Plus until your characters are strong enough.