Your mugen direcotory should look like this. Notice the different folders, they're self explanatory, you should go through them and adapt to what they do. Once you're familiar enough with where everything goes, it makes things pretty easy and you can take care of things without having to look the problem up. But obviously music goes in sound, stages go in stages, chars go in chars etc.
Go to your data folder and go to select.def
This is where you put your characters, this is a complex set up though, all you really have to do is enter the character's name. But in this advance set up, the numbers are ranked 1-10, it's basically a priority system on which characters are to appear sooner or later. Then there's the stages you can make the characters appear in. Note that you have to give the stage names underscores in order for this to work.
But what you want to do is replace the characters name with "randomselect".(In most screenpacks it's that anyway.)
This is where you put stages by themselves.
Go to the stage def file, this is how you assign music to a stage.