The .air file is the animations for the character
and the collision detection boxes.  The .cns tells
the character how to behave.  The .cmd file tells
which keys activate the move.  The .sff file contains
the pictures for the character and the .def tells
MUGEN which files to use for the character.  If one
of these files ain't right the character doesn't work
correctly.  Almost all punches and kicks use the same
code with slight adjustments to make more/less damage
etc.  The .air file tells MUGEN how to do the animations
and where to check for collisions between players.  In
order for the animations to be used they need to be
referenced in the .cns file.  There are really three 
types of common .cns entries.  HitDef (players making
direct contact), Projectile (spears, missiles, etc.),
and Helper (odd behaving projectiles, strikers, etc.).

Remember these also: 

anim entries are references to the [Begin Action ###] 
entries in the .air file. (changeanim, anim, etc. in
the .cns file).

state entries are references to ALL the states after
the [Statedef ###] entries in the .cns file. 
(changestate, stateno, etc. in the .cns or .cmd file).

Any thing in MUGEN after a semi-colon is known as a 
comment. MUGEN reads everything in the line up to a
semi-colon (;) but anything on a line after a
semi-colon gets ignored. No coding appears on a line
after a semi-colon only explanations and such (you can
place coding after a semi-colon but MUGEN doesn't see
it as coding). Nothing after a semi-colon gets used as
coding for a character but you can put coding after 
the semi-colons just that MUGEN won't look at it as 
coding and will ignore it.