Play as Anita
Beat the game. Then go to the character select screen, not the
shortcut version. Press Up, Right, Down, Left, Up, Right, Down, Left,
and hold Up. Then press and hold Light Punch, then Middle Punch, then
Heavy Punch (LP -> LP + MP -> LP + MP + HP)
Play as the Boss Dr.Doom
Beat the game. Save it to a memory card and reload it from there.
Then go into the character select screen, not the shortcut version.
Move the cursor to Spiderman, press Down, Down, then hold Down and
press Light Kick and hold it, then press Medium Kick and hold it, then
Hard Kick and hold it. Captain America should now change into Dr. Doom