Obtain a Chao from Sonic Adventure. You will be asked for the next area when your Chao reaches the end of the current level. Select the desired location, then immediately press Mode. Then, press Mode(2) to return to the Chao Adventure screen. Allow the Chao to start walking and it will allow you to select the next area. This may be repeated as needed.

It does not matter if a Chao file is available. Insert the VMS into socket one of a controller. Plug the controller into port D. Then a Chao Puzzle will appear on the VMS screen after selecting a file.