I think I may know how to do this, Try this out.
First, you should know what the size of you CP screen is (Width and Length).
After that, go into the Mugen CFG and go to Video Win.
Heres an example,
[Video Win]
;Enter the width and height of the resolution you want to set here.
;The optimal resolution is 320x240, but if your video card has problems
;You may want to try 640x480.
Width = 840
Height = 680
;This is the color depth at which to run MUGEN. You should set it to
;16 bit color unless your video card has problems with it.
;16-fastest, 24,32-slower, 8-slowest/worst
Depth = 16
;Set this parameter to 0 to disable screen stretching, and set it to 1 if
;you want to scale it up to fit the current resolution.
Stretch = 1
;Set this parameter to use a resolution-doubling filter. You will
;need a fast machine to use these filters. You will need to increase
;the screen resolution to at least 640x480 for these modes.
;0 - off
;1 - diagonal edge detection
;2 - bilinear filtering
;3 - horizontal scanlines
DoubleRes = 4
;DirectX mode
;Choose from Hardware, Software, Windowed, Overlay, Safe and None
;Hardware and Software run in full-screen. Windowed and Overlay
;run in a window. The windowed modes require you to set Depth to
;whatever color depth you are using for you desktop. The best results
;are when you run in 16-bit color. There is no advantage to running
;in 32-bit color. If Hardware, Software and Windowed fail, try Safe.
;None uses GDI to draw, so it's very slow. Use None only if
;you cannot get anything else to work.
;Overlay is not supported by all video cards, but can be faster than
;Windowed if it works.
DXmode = Windowed
(Leave it as Windowed)
;Set to 1 to enable vertical retrace synchronization. Do not enable
;if BlitMode = PageFlip.
VRetrace = 0
;Drawing mode
;Choose from Normal and PageFlip
BlitMode = PageFlip
D-Day