It's pretty easy. You can create it in pretty much ANY program. Photoshop and Gimp have scripts for it If I recall correctly. You could edit that to your liking and edit it properly to tile in mugen. Then to have it move in mugen (unless it's a full animation, I pretty much assume it's a single sprite) for a single sprite you'd need a velocity, and tile to have it move in game. In most cases fog layers contain a trans/alpha code too. Alpha is usually for toning down the brightness on it and subtracting from the full 256 color amount to have it blend more, or using trans to rid of a black background.
