Throughout the game, you need to collect the required nubmer of coins to unlock a tour set list. The more coins you collect, the more songs you get! Here's some hints about how to unlock more songs in the game.
Tour Set List 2 (Heal The World & Bad)
Collect 6 coins in Tour Mode.
Tour Set List 3 (The Way You Make Me Feel, Don't Stop 'Til You Get Enough & Black or White
Collect 13 coins in Tour Mode.
Tour Set List 4 (Wanna Be Startin' Somethin', Streetwalker, Leave Me Alone & Smooth Criminal)
