This is my mugen tutorial, its meant to be over informative.

Once you have downloaded MUGEN, Unzip ip (wow wtf how do I unzip???) ok , go on the "internet" and download winrar or winace or god knows what unzips crap these days.  Unzipping is done by left clicking and scolling to the "unzip" word, yay.

Now you should have something on your desktop called No limit patch mugen (or something to that extent), its a folder. Now this is an empty canvas for you to do your most likely retarded unloved self loathing creations on. 

NOW what do you want to do? lets see , you probally want to add charachters, who doesnt.  Whoa there tiger, before such acts you might want to put a screen pack on that.
(what the @#$@#$ is a screenpack! your talking to fast!!!)
Ok sorry, A screenpack is basicly the opening scene and the frame to which holds your redicules amount of characthers!  You cant put all these japanese animated people in a 12 frame box could you??
No you couldnt!
Depending on how many charachters you want, if your a dragon ball Z fan (and god help you if you are) here is what you do.
google or yahoo or lycos or use whatever for
mugen sreenpack

find some badly designed homade site and download a screenpack of your chosing.  Most have Illustrations of at least the selection screen. and enjoy your virus.

mugen fighting jam , a large 400+ eyesore, get this if you want to use charachters made in ms paint.
Capcon allstars, has about 100 slots, looks good.
many others of course, these are just two examples.  Download something.

Unzip whatever pack youdownloaded.  You can either unzip this to the winmugen folder, and hit "yes replace all" or move it folder by folder, (fonts and data) should be the only ones you have to move.  Fire up the EXE of mugen, if you are still seeing the default select char, you did something wrong and should cry for a minute.  You could have a faulty screenpack (although unlikely).

Moving on.
Charachters, (these are very easy)
Say you torrent or download or do whatever it is you do.  You end up with a zip file or a folder with a char name.  So there it is, on you desktop.  There is a few things this folder needs to have in it to be a valid mugen operating file!  A windows NT comand file, a notpad looking thing with the extention DEF , and then a variety of .cns .sff. .act. ad a html thrown in the mix.
kinky.
ok
Take that file, and open it, then open that def file, and rename it to something easy, (adon_mvc blah blah change that to adon) this saves alost of time and angst.
Now make sure to click off of the name change , if it stays the way it is, or even retains its capital letter, it wont work, (ugh i know). 
Now open Your select file ( its located in DATA folder in your MUGEN folder and its a notepad icon.)  Scroll Down and find your first "randomselect" text you see.  Delete that.
Now add you charachters name (remember when adding this the only thing that matters is that it matches the text on the DEF file, adon, type adon.  The folder name doesnt matter, or does anything else.  After the charachter name add a coma.
adon,
just like that.
Now, one thing they will try to throw at you is adding text to that, to give that charachter a stage or even the order he will apear in arcade mode.  this isnt hard.
ok weve deleted randomselect and replaced it with adon (or whoever)

adon,

heres how we add a stage so in ARCADE mode when you do Fight adon you fight him on his stage.
adon,stages/adon.def,
and now if you added adons stage to the bottom of the select list he will use that stage.
so now you understand you can just put the name and a comma, and move on, or you can add a stage to that char.
now here is how you add an order to that charachter so if you playing arcade you dont fight him right off the bat, this is usefull for bosses and harder chars.  (dagon ball z chars are all lame as shit and completely overpowered!)
anyway.
adon,,order=3
now your probally wondering why theres two commas between the char and order, (good observation!) now thats because ive left out the stage, which will in turn defualt to random for that characther. here is how it would look if you wanted him to apear on his own stage, and have his order as 3.
adon,stages/adon.def,order=3
no comma needed after the order number.
so basicly, name comma, if you just want him to be random during arcade.  If you want to attach him to a stage its the name , stages (this is the folder of the stage, (and hence where your put any stage downloads you want to incorperate into mugen)and then .def, (exp. adon,stages/adon.def,)  with the comma!.  one misplaced comma will make you char not apear, so try one at a time till you get good.
As far as putting in stages, im too tired atm, and theres many other tutorials out there on this site atm which rock.  I just wrote this one out of my own frustration from when i got into mugen and got stuck on very simple problems most overlooked.  Maybe im slow. who knows, but if i can help one other pist off angry guy at 2am, my work is done. 
Feel free to hit me with some input on this/
Things that will make your charachter not appear.
THE DEF FILE IS NOT THE SAME TEXT AS ON THE SELECT FILE ( NUMBER ONE REASON)
bad or corrupted file.
you didnt put it in a random select slot in select.  Just re-unzip mugen and start fresh.

now i pass out, godamit, rockies got sweeped. what a night : (