Have a saved game in all five slots. As the title screen fades out, hold L + R on both controllers, and any direction on the D-Pad on controller 1 to unlock all courses in the first save slot.
Gold Class and Wind Option
Finish all the regular and extra classes with Gold Trophies to unlock the Gold Class. If you finish that last world, you'll get the credits and you'll unlock the option to enable Wind in one Player mode.