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the .def file, in which you can write name, displayname, creation date, version of mugen etc.; you need this in order to play the character, in fact it reads the files, like the .sff, the .air, and the others; you can also decide to put the storyboard (intro and ending);
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the .sff file, you need this to put in the sprites, the graphics (commonly referred as FX or GFX) and optional add-ons (if you want to make lifebars or powerbars for the char);
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here you can make a new palette for your char; depending on the "edit mode" selection you can choose to make one from/for an image or from the character's palette;
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this is the animation page, where you have to make animations for the char; you have to put the CLSNs where due (see the blue rectangle?);
the begin action is the number of the animation, there's the name (not important) and you have to put the sprites in a sequence to make the animation, just make sure to set the time (in ticks);
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Here you have the coding part of the char, basically you have to code the characters moves, such as punches, kicks, custom states etc.
There's also another .cns, the common1.cns, where there are the stand, crouch, walk, run, jump and the other basics states; you can also make other .cns for simplicity or organization;
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The commands are set in this file; (please, if you don't know the commands for your mugen copy, set them in the option menù in mugen)
you can see F,F; it means double forward
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you add the sounds, voices of/for the char (they must be in .wav format)