To get Icemans (Bobby), danger room get all weapon x's and them other things on the level with Pyro (John), to the last part of it.

Then after you completed it, it'll tell you if you unlocked it.

Nightcrawlers danger room
Enter at the Cerebro files menu, Press up(2),down(2),left,right,left,right,start.

wolverines danger room
Enter at the Cerebro files menu, Press down(2),up(2),right,left,right,left,start.