it will tell you in the select def inside your data folder, you basically have to arrange it where each character will fight in their own stage with their own music for each stage, just refer to your basic mugen select def and it should tell u
If u dont have it, go download a fresh mugen and look into the select def in the data folder and it will tell u step by step on how to set it up where the each character will fight in their own stage which in turn will play their own music when u fight them in their own stage