Story Mode is self-explanatory but if you want to use the other characters, you are going to have to play the first character. It keeps going like that. Versus Mode is basically a solo battle but you have three options: Player VS Player, Player VS CPU, and CPU VS CPU. Dojo Mode is Practice Mode where your opponent will stand and do nothing and there is no option for tuning the CPU into doing what you want it to do.
Options Mode is where you can adjust BGM, SFX, Difficulty, Danger Symbol, Language and Controls. Hints is where you can read on how to play the game and it mechanics. Finally, Network Mode is where you can find Players online, view your ranking, and view your Player Card. However since I had never payed for multiplayer at all, my memory is fuzzy as the writing of this post.