To get Concept Art, you should collect all the Tarot Cards. The art can be viewed after the 1st part of the game is finished.
To unlock Code Menu, get to the main menu or bonus materials menu and hold L1 + L2 + R1 + R2 for 5 seconds. Then you can enter the following codes: MONSTROUS: Invincibility
PRIMAL: Bonus B
DEMONREALMS: Bonus C
OBLIVION: Bonus F
CHEATHS: Unlock Jen
BONUS.E: Unlock bonus materials