I am going to make the assumption you are at least using mugen 1.0 or greater and that inside the .def of every character you have this line
mugenversion = 1.0
If you know how to add the animation and sprites that makes things so much easier.
Create an anim, lets call it 6000. Find this line, it'll be somewhere in the cns files
[statedef -2]
Somewhere under that add this
[State -2]
type = explod
triggerall = numexplod(6000) = 0
trigger1 = ailevel > 0
ID = 6000
anim = 6000
postype = right ; (i am making the assumption that your p2 is always AI)
pos = -60,-80 ; (change this as required)
bindtime = -1
removetime = -1
We can also set this up so it shows on both sides by using teamside and teammode. If you want that please let me know, otherwise get the above working to some extent.