1. Versus mode is strictly for 2 human players, but in Watch mode, you can choose your characters and fight against the cpu. Right before the match starts, press ctrl 1 to control player 1's characters. If you have more than 1 character on that side, you have to do it whenever you start a round with a new character.
2. I think there are tutorials for arcade order. I'll try to see if I can find any. Videos between every fight sadly isn't possible if I'm not mistaken. There are ways to make intros and endings, but I think that's it. I don't know how to make those either.
3. Are you referring to palettes? If so, then try to follow these steps:
Step A. Download your palettes
Step B. Put them in the character folder of the character you have the palettes for (For example, let's say you got some palettes for Ryu. Put those palettes in the Ryu character folder. {Sometimes characters have a folder for palettes inside, so you can put them there too.
Step C. Just like installing a character in the select file for Mugen, install the palettes by typing them in the def file [Look in the character's def file until you see "pal 1 = blahblahblah.act. Your character should usually only have 12 palettes available at a time. act files are the palette files, so write the name of the palettes you want to install. For example, if you palette is called "Basic," write pal 2 = Basic.act. If there is a palette you don't want, you can replace it with another by writing a different name. So if you wanted to replace a pal with Basic, just write it on the line like usual]
Step D. Save your changes to the def file and open Mugen. BEFORE entering battle, you should know that every attack button corresponds to a palette. Usually...
Pal 1 = A button
Pal 2 = B
Pal 3 = C
Pal 4 = X
Pal 5 = Y
Pal 6 = Z
Pal 7 = Hold Start and A
Pal 8 = Start and B
Pal 9 = Start and C
Pal 10 = Start and X
Pal 11 = Start and Y
Pal 12 = Start and Z
Sorry if this sounds complicated. I'm bad at explaining things. If you have any more questions, I'll try to answer. Best of luck to you.
Edit: Oops, looks like someone beat me to the punch. Thanks, SSBK.