If you don't have a copy of MUGEN yet, you should go and get one right now! It's free, and it's a game that will give you tons of hours and fun, if you like fighting games. And if you don't... probably you should check it out too!
You can get a copy of MUGEN from their official website. It's for windows only, btw.
However, if you are looking for the old WinMUGEN, the alpha version of MUGEN, then you will have to look deeper. As elecbyte didn't ever release it. You should check this fanpage, for older releases. You don't need them though, since MUGEN support almost every stage and character from the WinMugen and WinMugen HD era. The stuff that doesn't work, is mostly because bad coding
¿Not in the mood for googling it? ¿Is every link broken? ¿Elecbyte is offline? Don't you worry! I'll give you a better, and faster option. Just download everything from here. This mirror includes MUGEN 1.1 beta 1, MUGEN 1.0 Release, and WinMUGEN, all in one pack. It doesn't include DOS Mugen, but you shouldn't really be using DOS Mugen since it's really really outdated, and as it name says, it only works in 16 bit DOS systems. It won't even work in modern Windows systems unless you use DOSBox or some kind of DOS emulator (The Microsoft VDM won't do the job in modern Windows systems like Windows 8).
Remember that I do not own MUGEN, or any of it's content.