First look up tutorials online on how to make stages
Once you think you got the grasp of that,start searching around spriters-resource.com or other mugen stages to find sprites that you can use to put together a club.
Youll need to edit some sprites here and there.
Be sure not to use any clashing spritestyles,since SNK stages dont go well with Street Fighter Alpha stages,MvC clashes terribly with Guilty Gear etc. etc.
So yea,Sprited original stages require a bunch of sprite editing,patience and knowledge of coding.
3D stages dont require knowledge with sprites,but rather with 3D editing tools.
here ya go i guess