When I donwloaded it myself all I did was place it all in one folder (when extracting it) to my desktop. I went into my No_limit_Winmugen folder, and then either just moved the MAC folder over to the Winmugen's data folder or double clicked the data folder first, than moved the MAC folder into it, I don't remember which I did. From there you probably know what to do, open up your Winmugen's data folder, select the CFG file and use notepad to change the motif to MAC, then go to the select file in MAC and type in your characters and stages you have in your original Winmugen chars and stages folders.
I no longer use MAC but I believe all the info above is correct. From what I remember it was as easy as it sounds but I realize we humans tend to overthink things. Take my trying to combine two part downloads of chars, for example. It took me a while to realize the extracting process would do everything for me.
Cinco de Mayo