Use 7-Zip or WinRAR. Extract to C:\Games\DBZ Mugen 2009 (avoid Desktop or Program Files to prevent permission errors).
Note: The core Mugen engine (Elecbyte) is freeware. However, the characters (sprites) are ripped from copyrighted games (Butoden, Budokai, Street Fighter). Downloading is generally tolerated for archival/fan purposes, but do not sell it. dragon ball z mugen 2009 pc game 2021 free download
Unlike modern Mugen builds, the 2009 version had unique "broken" AI and sprites you can't find anymore: Use 7-Zip or WinRAR