In the WARRIOR'S SHRINE, there's a spike with a picture of every character in the game. To get a HEAD to stick on one of these spikes, you need to:

-PERFORM 50 FATALITIES ON A CHARACTER in either the KLASSIC TOWERS or TOWERS OF TIME to get their head. Stick their head on their spike and you'll get unique character rewards, including INTROS.

-To UNLOCK SHANG TSUNG'S THRONE ROOM you need to place 10 heads on SPIKES in the WARRIOR'S SHRINE.

That means if you want to get into the throne room, you need to perform 50 fatalities on 10 different fighters. It's a lot of grinding if have to get access to this place now, but if you're not in any hurry, you'll eventually start collecting heads naturally, just from doing fatalities in-game.