Unlock H-Mode Replay:
Unlock H-mode (hentai mode) replays by completing Story Mode with a selected girl. Note this includes completing the sex scene with the selected girl until the credits are issued (do not quit to title or exit the game). H-replays are accessed in the Extras menu under Replay and are auto-saved to your profile when the credits are displayed.
Unlock CG Images:
Unlock the various CG still images in the Extras menu by completing Story Mode with all the girls. Note that the stage you select after fighting the first enemy determines which set of girls you unlock (that time). To unlock Setsuna Yagami's CG (the ninja girl), you need to select the bottom option after playing either set of girls the first time (it is the first decision in Story Mode). The other girls are "unlocked" when you select them in the second decision window.
Hint: Option Translation:
Most of the menu is written in English, but some of the options are written in Japanese. The middle Japanese option in the Extra Mode allows you to edit a girl and then go into a scene (after you select a stage).
The Japanese choice for Free Mode in the options menu is whether or not a sex scene will occur after a free mode bout (this is defaulted to OFF).