MUGEN isn't a game, but a game engine for fighting games, where you can implement all it's features, fighters, backgrounds, music, lifebars, ect.
You can find characters, backgrounds, ect. all over the internet. There's even programs where you cam make your own chracters and such (But it's extemely difficult).
http://www.mugenation.com/index.php/cat=programmi
Here's where you can download the game engine.