It is very easy, you just have to open the "def." file on the stage you want to add a song, and look for this line in the file:
Quote
[Music]
bgmusic = sound/(tip here the name of the sound file in their "sound" mugen folder).mp3
bgvolume = 155 << Shows the volume of the sound file.
bgm. loop = 1 << Shows how the sound file may be repeated or no.
Just change where I put in focus when you open your mugen, your stage will be with music. 
