Start the game with X and make sure you have the Fourth Armor. After destroying the colony (make sure Zero does not become Maverick), go to the third Maverick level with either X or Zero. After getting the armor, die constantly and go to level selection screen when the game ends. Then, go to the level again, but with the other hunter. For example, if you went with Zero first, then go with X next or vice versa. Look at the left side of the level selection screen to find the Fourth Armor, Black Zero, Ultimate Armor, Gaea Armor (if you have it), and Falcon Armor (if you have it).
Use the following trick to eventually collect all armors possible (with sacrificing Z-Buster and regular Red Armor). Start as Megaman without enabling the "Ultimate Armor" code. You should already have the fourth armor. Then, collect the Gaea armor and Falcon armor as usualYou should now have the Fourth, Gaea, and Falcon armors. Work your way to the third Zero virus levels. It should have a red background. There is a location in the level with spikes on the top and bottom. There is a moving platform, and to the right of that is a narrow path with spikes on top and bottom to the right of that (on the regular path). Pass that section. Immediately after that should be a pit with a platform on the left wall of it that remains still. Slide down the right wall and you should eventually reach a part where there is a concealed room in the wall that you can see. The wall is hollow and you can slip through it. Inside will be a capsule. If you have unarmored X, then you should be able to get the Ultimate armor. You should now have the Fourth, Gaea, Falcon, and Ultimate armor. If you have Zero in that pit, you will get the Black armor. You will now have all possible armors: Fourth, Gaea, Falcon, Ultimate, and Black, also including regular X. It is recommended that you use Zero for the level. However, before picking him, go in the level with unarmored X and get his armor. Then, die and get Zero and his armor. It will appear on him immediately so you do not have to quit to get it, then go to fight X. Also, the Black armor is different from Megaman X4's Black armor. It has an enhanced dashing ability with a purple boost. Also, an enhanced color of the armor actually powers up the body. It also powers up the Z-Saber to an almost invincible power that can destroy viruses without Virus Buster.
Read more: http://www.cheatcc.com/psx/codes/mmx5.html#ixzz4Sj0HNEft
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