I've always found that almost anything related to Mugen is poorly made and/or unorganized. Having to search through several shady sites that link to other uploading sites in order to find certain characters is a pretty crappy method that I always run into when I check out Mugen.
It's a case of every game where you can change sprites that easily (like Little Fighter 2). People wouldn't make crappy characters if it required much effort. I remember a couple of really well-made though
Tried getting MUGEN set up once, but gave up rather quickly. It's a fun idea, having any characters fight it out online, but it can be a bitch to set up. Especially if you don't want any viruses.