Instructions
Select any game mode from the "Super Smash Bros. Melee" title menu.
Move your cursor over the box labeled "Zelda" with a picture of the princess on the right-hand side of the second row. Choose a color theme for her costume and press "Start."
Select a stage to play on via the following menu.
Press "down" and "B" simultaneously to activate Zelda's alter ego Sheik. You can also hold "A" while the stage is loading to turn into Sheik immediately so that you don't have to waste time during battle.