The King of Fighters Collection: The Orochi Saga

Reach Saisyu with any team that includes Kyo and select Kyo as your first character, then defeat Saisyu. If you lose against Saisyu, allow yourself to be defeated, continue and you can try again. Alternatively, you can use any team which does not include Kyo to reach Saisyu, allow yourself to be defeated, then continue and select a team which includes Kyo and defeat Saisyu. The trophy pops as soon as you defeat Saisyu with Kyo as your first character but the difficulty setting doesn't matter so play on level 1.