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)
