That's not a game in the literal sense. It's MUGEN. MUGEN is a bare bare bones fighting game emulator that allows you to customize almost everything about it on your own. For example, you download different characters from other real fighting games (Ryu from Street Fighter, Sol from Guilty Gear, etc) and then download stages from other fighting games, and any kind of music you want. Then you put it all into the MUGEN emulator and play the fighting game using the characters, stages, and music you want.
Sometimes, people take characters and mod them (like taking Naruto characters from the 3DS games and changing their clothes and giving them different attacks so they look like a different character).