Instructions
Locate the steel cage's door. This is the sectioned off portion of one of the walls, which does not match the pattern of the other walls.
Stay outside of the ring and wait for a moment. Whether you are playing against the computer or another human, your opponent will likely exit the ring to follow you. If he does not, move the analog stick in one direction to taunt him and encourage him to get you.
Walk up to your opponent and press "R" and the direction of the door relative to your position. For example, if the door is on your right, press "R" and "Right" at the same time. This performs a move called the Irish Whip, and it whips your opponent against the door, rendering him immobile for a few seconds.
Walk up to your opponent and press "R," "O" and any of the directional buttons. This performs a corner grapple, in which you lift your opponent and slam him into the corner, opening the door and letting you walk out of the cage.