What are your system specs?
What version of mugen are you running?
What TYPE of mugen are you running?
What is your screenpack?
Are you using older versions, or the new RCMugen from elecbyte?
All of these are factors. the long loading times vary based on your system, whats running, and how much characters/stages/screenpack you have on it.
As for the crashing, thats caused by a sound issue with mugen, there are add on "Plug-ins" that will fix this for the most part. The new RC mugen doesn't have this problem as far as I know, but has compatibility problems with older mugen stuff.