Changing Clothes:
Finish the game and rescue the other 2 players. A phrase that "You've got a special key" will show up in the game's credits. Save your game and reload with the game you just saved. Go to the room with the large mirror on the second floor and unlock the door in the back. Go to the closet to find your new outfit.

Get a Rocket Launcher:
Finish the game without using any saves