i see. what you use is not mugen directly. this is
m.u.g.e.npromelium is a motifs/modification/skin-map-pack for mugen. and that's a little bit tricky to use, because it's not possible to start mugen the common way like another execution-files.
usually it's possible to start an .exe this way (but this doesn't work in this case with mugen.exe) : path_to_exe\file.exe -parameters
you have to use this syntax :
cd path_to_exe
& file.exe -parameters
this is my config for mugen & it works:
# Generated by Attract-Mode 1.5.3
#
executable cmd
args /c cd C:\attract\EMU\mugen & mugen.exe -r [name]
rompath C:\attract\EMU\mugen\data
romext <DIR>
system PC
1) create a folder (in your case promelium)
2) unzip all files from promelium-zip-file; copy all these files in the root of this folder (see screenshot enclosed)
3) move the folder to C:\attract\EMU\mugen\data
4) configure AM