Yes. If mugen.exe is not set up to run the project, the error is something like "You need to configure a MUGEN first."
I've done some more research and I think that, mugen is unable to read the sprite folder. But I've converted my sprites from .png to .bpm and made sure they're indexed to 256 colors, and it's still not working. I'm either not understanding the problem or am missing something to do with the .sff file.
Thanks,
-AW