Well I got all the characters, I got that the save data is the env.dat? here's my save:
So in my case the last 2 characters that was hard to get was the mummy man and the dragon. not sure if this is right, but I got the mummy by using the electric trap item (F4) and draining his MP, maybe only using Item is enough. The Dragon was the same, but he's the last to be unlocked, and using the masked sorcerer wit electric trap item also.
The game was good, but too few H scenes, I liked The Pegasus Knight series better.
Edit: added the save folder from Data (thanks
@laugh)