Instructions
Play through the game until you get to the 14th mission of Kaiba's campaign: Dragon Lair. This mission teams up Kaiba and Pegasus for a series of battles through an area with many dragons.
Follow the linear path from your base to any of the palaces on the world map. There are a total of six palaces in this area, but you must save the southernmost palace for last.
Send Pegasus in one direction along the map while Kaiba goes in the other direction after you have liberated the first palace. After this palace, the others form a circle called the Dragon Path with two on each half and the final palace near the bottom of the map.
Alternate between Pegasus and Kaiba as you make your way around the path from both sides and liberate the palaces by fighting the enemies in each one. There are also random encounters along the Dragon Path.
Make your way along both halves of the Dragon Path until Kaiba and Pegasus meet in the middle. Enter the final palace and challenge the Dragon Lord inside to liberate the Burrow. When you defeat him, the three Blue-Eyes White Dragons join your party. When these three are on the field together, they fuse to become the Blue-Eyes Ultimate Dragon.