You must UNLOCK them,after the "game over" screen you'll see there's another screen where you can input codes,those codes are called "Ultimake Kombat Kodes" and you put them in that screen to unlock Ermac,Mileena and Masked Sub Zero,the codes are as follows:

(youy must put them in player 1 and player 2 respectively)

Ermac:

Player 1: HPx1, LPx2, BLx3, LKx4, HKx4 - Player 2: HPx4, LPx4, BLx3, LKx2, HKx1

Masked Sub Zero:

Player 1: HPx8, LPx1, BLx8, LKx3, HKx5 - Player 2: HPx8, LPx1, BLx8, LKx3, HKx5

Mileena:

Player 1: HPx2, LPx2, BLx2, LKx6, HKx4 - Player 2: HPx2, LPx2, BLx2, LKx6, HKx4

Will these characters be saved and be available next time I play if I play the arcade version of UMK3 that comes with MK Armageddon?

Nope. U have to unlock them each time you turn off the game.
It's the same problem with the MAT2 version of MK3 when u unlock Smoke.

yes, they will be saved if you are playing MAME umk3.

They save on my computer; I entered them in once, and never again. Atleast thats how it is on my comp ; ) Its like this in the arcade machine too.

Yea think of it like this.

Once you download a arcade rom,in a sense your computer is the arcade machine so with that in mine it should save without any problem.

Or you can just download a cheat file.

Anyone already noticed that after you unlock all 3 secret characters the player select screen becomes strange? There are strange colors, a really strange bug. It happens with me in MAME and I was sad that it is in UMK3 Armageddon too.

Sad...

I made a video a while back of this very subject. Check it out... http://www.youtube.com/watch?v=7tZM_pywc7w

It seems all the questions have been answered in here, so I will close the thread; for future reference, TheBastardGamer, please do not bump threads that have not been posted in for more than three months. At that point, it is simply better to make a new thread.