David Messiah

Hi! I am totally new to Mugen. I want to undesrtand how to play Mugen games. Where and what all files i need to download? I have recently downloaded Dragonball Z millenium and want to play it but i don't know anything about Mugen except that it is a 2D gaming engine. Can somebody please give me step by step on how to play a Mugen game on windowsXP platform. After searching the net i got the Winmugen file but there are no how to do docs with this download as well. Please help...