S.S.4 Gogeta: Vegeta: Fulfill the Gogeta requirements for Vegeta
until you get to the part where you have to
fight Broly, instead of fighting Broly head
to Kame House and then fly over the
Chain-Island at the South of the Kame House,
on one of the Island you'll find a scene with
Goku, after your chat with him, go and defeat
Broly, now a new red dot will appear, here
you'll fight S.S.4 Goku, defeat him to unlock
the capsule.
Goku: You'll automatically get the capsule when
fulfilling the Omega Shenron requirements.
Here's how to get Omega Shenron...
Broly: When in Goku's D.U for at least the second time and in
the Majin Buu saga, at a point Gohan will be absorbed by
Super Buu, now head to the new red dot, but don't fight
Super Buu yet, search to the West for a scene with
Kibitoshin titled 'Mountains' (use R1/Ki search it helps a
lot), after your chat with Kibitoshin go and beat Super Buu
inside and out, after you have done this a new red dot will
appear, but this time it's Broly, figth and defeat him to
unlock him.
Omega Shenron: Fulfill the Broly requirements listed above, after
you have battled Broly and defeated him you'll
recieve a note from Kid Trunks to fight as Gogeta
(Vegeta+Goku) against Gotenks (Kid Trunks+Goten),
ignore this note and head to the West City, you'll
have a chat with Bulma there, after this scene go
and defeat Gotenks, after this fight there will be
a new red dot, Omega Shenron, there you'll fuse with
S.S.4 Vegeta transforming into S.S.4 Gogeta, you'll
be able to defeat Omega Shenron easily in the
transformed state. Note that the time of the fusion
will run out so make it quick otherwise you'll
unfuse and you'll become Goku again, if this happens
you're in some serious trouble.
If you're having trouble with this game read my walkthrough, people say it's very helpfull, here is the link: http://www.supercheats.com/playstation2/walkthroughs/dragonballzbudokai3-walkthrough15.txt
Sighs...