Have you changed the code on mugen.cfg. Both must be 22 [Input]
P1.UseKeyboard = 1
P2.UseKeyboard = 1
;Joystick type:
;0 - Disable
;1 - Autodetect (not reliable under DOS)
;4 - 4 button
;6 - 6 button
;8 - 8 button
;20 - Sidewinder
;21 - SNESKey
;22 - PSX pad
;23 - N64 pad
P1.Joystick.type = 22 both must be 22
P2.Joystick.type = 22 both must be 22
ForceFeedback = 0