If you want to develop your own character instead of downloading one:
You can find free M.U.G.E.N characters, often called "avatars," on several community-driven platforms, primarily the Mugen Archive . M.U.G.E.N is a free 2D fighting game engine that allows you to download and add thousands of custom-made fighters from various franchises. MUGEN Avatar Free Download
Often used for downloading the core M.U.G.E.N engine for Windows. How to Add Downloaded Characters If you want to develop your own character
The most popular hubs for finding and downloading free M.U.G.E.N characters include: often called "avatars
The original developer's site, which provides the engine and base documentation.
The largest repository of characters, stages, and screenpacks.
Copy the extracted folder into the chars directory of your M.U.G.E.N installation.