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works for me, just click the blue download button

"anytime I try to load anything." has many variants, please specify

after a quick test I noticed that Mugen does not have a defined directory set up, in short if you try to run it outside the MuHenV# folder it will give this error, also if the folder where the game is located is protected in some way it can also give this error,  however I don't know if this is your case, if not let me know so I can look for more solutions

(just in case I attach an image of how the folder should be)