Steer clear of sites that force you to download an "installer" or ".exe" just to get a .rar file.
Downloading files like typically refers to character assets or mods for fighting game engines like M.U.G.E.N. 1. Where to Find the Download
Move the extracted folder into the chars directory of your M.U.G.E.N folder. Open the data folder and locate the select.def file.
One of the largest databases for characters, stages, and screenpacks.