Board: M.U.G.E.N Configuration Help
I had the same exact problem with my mugen as well (can't load stage/(name of stage).def"....) I happened to download a Street Fighter 3rd Strike game that had no problem with continues after I lost (almost never LOL!). I placed the same engine in my other games and it totally fixed the issue. Try using this engine instead. It should work. I renamed my old file winmugen.exe to winmugen.exe_OLD just so I still had it but wouldn't confuse it with the old one. Here is the link for the good engine:
http://rapidshare.com/files/70871844/Winmugen_Fixed.exe.html
I've been having the same problem so I tried to search the forum. I tried using your exe file instead and it works as well. And, oh, you don't have to change the filename either. I can place this file in my mugen main directory and run it.