Instructions
Download and extract the desired MUGEN character into the "Chars" folder in the WinMUGEN install directory.
Open the "data" folder in the WinMUGEN install directory and double-click the "Select" text file.
Scroll down the text file until you come to the "Insert Characters Here" line.
Type in the following line underneath the "Insert Characters" line:
CharName, stages/StageName.def
Replace "CharName" with the MUGEN character's filename and replace "StageName" with the filename of the stage you want associated with that character. So if the character's filename is "Raiden," replace "CharName" with "Raiden."