This is basically a futa 'overhaul' for mugen, so it contains the base game and tatters fui's curated selection of characters. AFAIK, this release is a standalone version of mugen that isn't necessarily built to be modded. There is information around the internet dedicated to grabbing packs like this one and picking the characters/stages you want for your own version of mugen (it's mostly associating entries in 'select.def' with the files you put in the 'chars' folder).
tl,dr; You cannot simply add this to mugen as this is the entire game and futa stuff. It's not simply drag+drop. You'll need to mess with some folders and change some data in the. def files. Extensive information regarding mugen is available online, but you'll have to find it.