Here are download links for the engine and link to the site where to download add-ons, chars, stages and the such
Mugen 1.0 - newest version but not much characters are compatible with it
http://www.elecbyte.com/mugenfiles/mugen100.zip
Winmugen Plus - cracked winmugen to be able to support hi-res graphics and most used version
http://www.sendspace.com/file/lmtrdp
Sites downloads
1. http://mugencharacters.org/
Elecbyte's site, best place to download mostly anything in the M.U.G.E.N industry
(This site hasn't been updated yet and no accounts have signed in, it's merely a database now.)
Also a good site to get chars and add-ons
Now that mugencharacters.org is kind of shut down (accounts aren't actually usable). This is one of the best forums now.
4.elecbyte.com
Official site of elecbyte (creators of mugen)