For this secret, you'll have to have to have met Proto Man in his two hiding spots. One is in Cloud Man's stage and the other in Turbo Man's. After finding him in those spots, go to Shade Man's stage and fight the pumpkin miniboss. Defeat the enemy by shooting the pumpkin inside its mouth, as opposed to its eyes, which opens a different path.
Upon its defeat, the boss will smash a hole in the floor. Fall through, defeat the Sniper Joe and walk past it through the right wall. You'll see a boss door with Proto Man waiting on the other side. If you defeat him, you'll get his Proto Shield.
The Proto Shield is rather handy, as it deflects bullets as long as you're standing still. I find it causes Mega Man's movement to be a bit more stiff though. You win some, you lose some.
There are a handful of buried items in the game that you can dig up with Rush Search. I find it convenient to get the items this way rather than buying them at Auto's shop.
First up is the exit capsule, which lets you exit any stage you've beaten before at any point. this is good for going back and getting items you missed, and it's located on the edge of the raised platform before Freeze Man's boss door above a dinosaur skull.
Next is the energy balancer, which automatically refills your weapon with the lowest energy when you pick up weapon energy. It's in Shade Man's stage, under the portrait of Dr. Wily that you'll find if you take the upper path by defeating the pumpkin miniboss by shooting its mouth and not its eyes.
The last item is the Homing Rush Punch plate for the Rush Super Adaptor. This allows Super Mega Man's rocket fist to fly further and home in on enemies. This is on an otherwise empty platform to your left when climbing a ladder in Turbo Man's stage.
There are other hidden items, like giant bolts and a massive health recovery item, but those three are the big ones.