I suggest that you first collect images/music/SFX that could be used for stages
(Game textures, Environment Pictures, Concept art, Renders, etc)
Then acquire useful programs that could be used for stage making
Here's a list of programs that I use, and why I use it.
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1. Photoshop/GIMP/Paintshop Pro
You're the artist, and the image editing software is your canvas and brush. They are used from start to finish. I don't really need to tell you why you need one of these three programs, they speak for themselves.
2. Fighter Factory 1-3
No need to explain why.
3. Particle Illusion/Squirlz/Youtube Video Downloader
Sometimes, you'll want to add a little bit of WOW factor to your stages. What do you do? You add flashy effects to it!
Youtube Video Downloader helps out when you want to add some stock footage you found to your stages. Whether it's Fire, Rain, Snow, this software will always come in handy.
Squirlz generates a body of water for your stages.
Particle Illusion has tons to offer. It generates effects for you in a matter of seconds. You want some smoke? You got it! You want some Fire? You got it! There's one flaw to particle Illusion though, it can't loop your effects for you. The next part will help you out there.
4. Adobe After Effects/Sony Vegas
Your standard video editing program. Whether it's for looping effects or for making stage intros, these two will help you out immensely. You'll need to watch some tutorials on Youtube though if you don't know how to use it.
5. RAD Video Tools
So let's say you have your 100+ frame stage effect in AVI format. You don't want to convert that one-by-one right? Well RAD video tools has the answer for you! It converts your AVI/PNG/etc. files to PCX all in a matter of seconds!
Read up on some useful stage tutorials
(Mugen Docs and Cybaster's Stage Tutorial contain the basic lessons for you to get started. As for slightly advanced/useful tricks, Club Syn and Newage has some very useful stuff)
Don't be afraid to ask the pros
(I tried to become acquainted with the well-known stage makers when I started. They helped out a lot, they even taught me things that I thought was impossible to in Mugen)
And one last thing to remember before you make a stage ...
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Always have fun + Do what you love! Oh, and BACK-UP your stuff just in case!
I hope what I said helps you out! 
