Dragon Ball Z Budokai HD Collection

In order to unlock
Broly, you must play through Goku's DU Story a second time after having
completed it once before. The next step is to reach the Majin Saga,
specifically the point where Goku is looking for someone to fuse with via the
Potara earrings. This segment occurs right after the scene where Gohan is
absorbed by Super Buu. First, look in the immediate area surrounding where
Goku starts this stage. A ??? nearby should start a conversation with Hercule.
Once that scene ends, head towards the red dot on your map, but do not begin
the battle with Super Buu yet. Near the battle with Buu, will be another ???
mark what will show a scene with Tien. Once that is finished, search the
surrounding area for a location that reads 'Mountains'.

If you have found the correct location, a dialogue with kabitoshin will ensue,
where he discusses a greater evil being on the earth, and how he is intimidated
by the fact. Once this dialogue has ended, feel free to fight Super Buu. Once
you defeat Super Buu within Buu's body, there will be a new dialogue where
Vegeta will hold off Buu so that Goku can investigate the new force. A new red
marker will appear on the map, where Broly will be waiting. Defeat him, and
Broly will be unlocked for all modes, including DU.

Note: Broly can be faught by Vegeta on a second play through of Vegeta's DU
mode. Head to the island covered in snow before fusing with Goku to battle
Super Buu, and you will have an automatic dialogue with Kabitoshin about Broly.
After the dialogue, battle Buu as normal, and you will eventually face Broly.
Using Vegeta will not unlock Brolly, but it is necessary to fight him for some
of Vegeta's rare capsules.

Note2: Broly can also be faught by Gohan (Adult) as happens in the actual movie
and in the Broly's DU mode, during a second playthrough of Gohan's (Adult) DU
mode, but this will not unlock Broly.

Source: http://www.gamefaqs.com/ps2/920505-dragon-ball-z-budokai-3/f...