Download the character into your Chars folder and extract so you have one single folder.
The character may not have any main sub-folders, except for ones that come with it, if they are separating files.
After you do that follow these steps.
1 - Make sure that the character folder and character.def file have the exact same name for that respective character.
2 - Open the .def file and at the top, you can change the display name in between the brackets.
This however is optional, it's not necessary.
3 - copy the character's name, and open your data folder, and then open the select.def file.
Look for the [Characters] section and paste the character's name bellow that line.
4 - Save all the files, and it's done.
If Mugen gives you errors, it may be because of the following reasons.
1 - The character needs converting from dos to windows.
You can do this by using Dos2win app.
2 - The character is missing a file.
Sometimes the author makes only partial characters assuming you have the original character and therefore you need to have the missing files.
3 - Check if the character's name is the same for the folder, the .def, and in the select.def list... and does NOT have any sub folders.