You can use any graphic as long as it is saved as a .pcx (preferably fairly large as this dictates the fighting space) and .mod music in the mod folder.
I customised mine with the Prodigy music, backgrounds etc.. although not sure if it works with recent versions.
yep. The background has to be something like pic1.pcx and the corresponding .mod music (in the midi folder) would have to be pic1.mod in order for it to work.
Not sure. Never done it without a music file. But theres plenty of music from the Mod Archive linked above. Just rename it to the same name as the picture you want to use and it should work
EDIT:
Prodigy Theme for KOF91:
Prodigy.zip Copy to "SKINS" directory and select at start screen by pressing "R" and going to Config.