I can understand it since some websites who displays tons of bor mods and mugen games, sometimes compiled use to name it emulators.
But as DC said, they are not. even if finally you use it to play games.
About your settings, adding a screenpack is most of the time replacing files in data folder with the new ones and declare it on mugen.cfg or something.
In fact, all screenpacks are different some overwrite files, some have own folder, so the way to install it may differ a lot.
I sugest you to make save of you original files before to add any screenpack/addon.
Also, most of screenpacks have a txt file to explain how this specific motif have to be installed.
Good luck.