Vai te uma parte assim:
;-------------------------------------------------------
; Sound configuration (Windows)
; Note: WavVolume and MidiVolume here are not the same
; as the ones in [Options], but they all affect the volume.
[Sound Win]
;Set the followin...

dai vc vai ate o final dela

... ;Set the following to 1 to enable and 0 to disable MIDI, MP3, MOD and CD
;playback.
PlayMIDI =1
PlayMP3 =1;This affects all Winamp-compatible plugins as well
PlayMOD =1
PlayCDA =1

;Set the drive letter of your CD-ROM (if you have more than one
;drive). eg, To use drive E, put the following:
; CDADevice = E:\
;Leave blank to use your default CD-ROM drive.
CDADevice =

;Set the following to 1 to pause BGM playback when switching
;away from the MUGEN window.
PauseBGMOnDefocus =1

;List Winamp-compatible plugins here.
;Specify the filename of the plugin and the list of file types to
;use the plugin for. One plugin per line.
;Example: plugin = plugins/my_plugin.dll, mp3, mp2, mpg
;
;If music is not looping with a particular plugin, you can try an
;optional first argument looptype=1 (seek to zero; may stutter)
;or looptype=2 (reload plugin; slow).
;Example: plugin = looptype=1, plugins/my_plugin.dll, mp3, mp2, mpg...

Dai depois disso add essas linhas aqui

plugin =looptype=1, plugins/DJ-VAN.dll, mp3, mp2, mpg
plugin = looptype=1, plugins/in_adx.dll, adx
plugin = looptype=1, plugins/in_vorbis.dll, ogg

dai vai fica mais ou menos assim (pelo menos no meu é assim)

;-------------------------------------------------------
; Sound configuration (Windows)
; Note: WavVolume and MidiVolume here are not the same
; as the ones in [Options], but they all affect the volume.
[Sound Win]
;Set the following to 1 to enable sound effects and music.
;Set to 0 to disable.
Sound =1

;Set the following to 1 to enable stereo effects in-game
;Set to 0 to disable.
StereoEffects =1

;This is the width of the sound panning field. If you
;Increase this number, the stereo effects will sound
;closer to the middle. Set to a smaller number to get
;more stereo separation on sound effects.
;Only valid if StereoEffects is set to 1.
PanningWidth =240

;Set the following to 1 to reverse left and right channels
;on your sound card.
ReverseStereo =0

;Wave device to use. Choose from:
; NONE - No wave device
; AUTO - Autodetect
; DX? - DirectSound: replace ? with a the device number (from 0 to 9)
; DXA? - DirectSound with Allegro mixer: replace ? with a the device number (from 0 to 9)
; WAVEOUTA- High-quality wave-out
; WAVEOUTB- Low-quality wave-out
WavDevice =AUTO

;Voice Channels to use. Values are from 1 to 16.
;If sound quality is poor, try setting a smaller number, such as 8 or 4.
WavChannels =12

;Maximum number of voices used for MODs. This number reduces the
;number of available WavChannels. ModVoices must be less than
;WavChannels. If equal, then MODs will get all the available
;channels and therefore no sound effects will play.
ModVoices =6

;Midi device to use. Choose from:
; NONE - No midi device
; AUTO - Autodetect
; MAPPER - MIDI Mapper
; MID? - MIDI Device: replace ? with a the device number (from 0 to 9)
; DIGMID - Allegro's Digimid driver
MidiDevice =AUTO

;This is the master volume for all wav sounds (affects mp3 volume).
;Valid values are from from 0 to 255.
MasterWavVolume =255

;Set the volume of wav, midi, mods and CD audio.
;Note: WavVolume does not affect mp3 or mod volume.
;Valid values are from from 0 to 255.
;For CDAVolume only, using -1 will leave the volume unchanged.
WavVolume =128
MidiVolume =192
MP3Volume =135;This affects all Winamp-compatible plugins as well
ModVolume =80
CDAVolume =-1

;Set the following to 1 to enable and 0 to disable MIDI, MP3, MOD and CD
;playback.
PlayMIDI =1
PlayMP3 =1;This affects all Winamp-compatible plugins as well
PlayMOD =1
PlayCDA =1

;Set the drive letter of your CD-ROM (if you have more than one
;drive). eg, To use drive E, put the following:
; CDADevice = E:\
;Leave blank to use your default CD-ROM drive.
CDADevice =

;Set the following to 1 to pause BGM playback when switching
;away from the MUGEN window.
PauseBGMOnDefocus =1

;List Winamp-compatible plugins here.
;Specify the filename of the plugin and the list of file types to
;use the plugin for. One plugin per line.
;Example: plugin = plugins/my_plugin.dll, mp3, mp2, mpg
;
;If music is not looping with a particular plugin, you can try an
;optional first argument looptype=1 (seek to zero; may stutter)
;or looptype=2 (reload plugin; slow).
;Example: plugin = looptype=1, plugins/my_plugin.dll, mp3, mp2, mpg

plugin =looptype=1, plugins/DJ-VAN.dll, mp3, mp2, mpg
plugin = looptype=1, plugins/in_adx.dll, adx
plugin = looptype=1, plugins/in_vorbis.dll, ogg
;-------------------------------------------------------

Se nao funfa dai eu não sei o que é