Mugen comes with a manual and a basic tutorial you can use. That's basically how I got started, I was able to start making stuff that same day. The more you practice and run in to problems, the more you learn. You don't have to take it all in at once, just some basics can get you moving.
There are many mugen forums you can check for help, also video tutorials on youtube and other sites. If you have a problem, someone has probably already run in to it. Explore the web to find your answers.