You're right, MUGEN doesn't actually stand for anything. I've read FAQs on the subject.
And just so you know, MUGEN is far from a "make a game for you" product. You must learn how to convert data files, and create definitions, as well as many other things. You could probably get a program that acts as a wizard, but at the lowest level, it's not at all automatic. If you're looking to do some actual work in MUGEN, be prepared to read up on one of various tutorials! Sure, adding premade material is a cinch, but making your own gets much more complicated.