Okay if it came with software install it. if not just plug into the USB
Now you need to start up Mugen and go to options tab, and arrow down to input configure, and hit enter. Arrow down, and select joystick disabled, and switch it to auto. Now if you may have to do a joystick configure to which is right under the joystick tab. This will designate which buttons on your controller designate buttons. for up simply press up, for A button simply press the A button. Save the options, and you should be set.