Instructions
Open the folder containing your installation of MUGEN, then open the "Sound" folder inside it.
Right-click on the sound file you'd like to use for your MUGEN stage, then select the "Copy" option from the context menu that appears.
Right-click inside of MUGEN's Sound folder, then select the "Paste" option from the context menu that pops up. Close the Sound folder.
Click on your computer's "Start" button, then type "Notepad" into the Start menu's search box. Click on the "Notepad" shortcut when it appears in the Start menu.
Click on Notepad's "File" heading, and then select the "Open" option from the menu that appears beneath the heading. Navigate to the "MUGEN" programs folder, using the file explorer window that pops up.
Open the "Stages" folder inside of the MUGEN folder. Click on the .def file associated with the stage to which you'd like to apply your music. The file will load into Notepad.
Locate the "bgmusic =" heading in the .def file. Type the name of your music next to the "bgmusic =" heading. Include the music file's extension to the end of the file's name (e.g., bgmusic = mysong.wmv).
Select the "Save" option from Notepad's "File" heading, then close the program.