These are the Annie levels that are playable. You will get a black screen if you click the X'ed out levels. As LAGS stated, those levels aren't made yet. To unlock Annie's gameplay, you have to find the captured girls on levels 3, 8, 13, and 15. the girls are not visible until you complete level 11, so you'll need to backtrack. Once you save them all, Go to the main menu, then extras, and you'll see Annie's gameplay!