You must finish the game as X

When you're at the Flame Mammoth's stage, after the first long fall, jumping up the left side of the wall until you find small room. It's in there.

When you get to Chill Penguin's stage, kick the blocks with the leg upgrades. They're on the right side of the wall in the base.

When you get to Storm Eagle's stage, you'll find it after the climbable tower.

Finish the entire game.

Beat the green robot at Sting Chameleon's stage.

You must finish the game as X