well to make a character, first you need fighter factory. also if your sprites are on a spritesheet, you'll need a photoediting software like photoshop or just paint if you want. you need to crop the sprites one by one and save it as a .bmp file not anything else. visit this guys site for info about the fighter factory:
uroz23's youtube channel but if you downloaded the program simply double-click the file "winmugen.exe". If you want to add a character, after you downloaded him make sure you have winrar (you can get this for free of the internet, however it's going to nag you to buy but you can still use it) if there's a folder inside that file, simply drag him into the "char" folder whever you put your Mugen. If there isn't a folder is inside the zipped of .rar file then press the extract button near the top. after that open the data folder and open up the file "select.def". put the name of the character where it says ";Insert your characters below." save then you're done! PS: please fix your grammar