Answer:
When you download your character unzip it to your mugen folder. Then copy the name of the folder. Now go to the data folder and open " select.def " with notepad or word pad.
Scroll down until you see this line:
kfm, stages/kfm.def
paste the name underneath it.
(don't worry you don't have to put the stage thing unless your mugen is REAAALY old)