Final Fight: Double Impact

You must start and finish the entire game with Guy. Doesn't matter the difficulty or how many times you continue. Just make sure you start the game with him and do not "join a game" already in progress even on level 1 or you will not get the achievement.
Also be careful when you press continue not to accidently pick another character or that will also void this achievement.
This can be done in a solo, local co-op, or XBL co-op game.