There are multiple select.def files just search through all of them. worked for me.
This, specifically had to change the select.def in the "data/MMMBE" folder.
And for the file path for the shortcut, make sure you're going to your specific file path where you have the game. Go to the folder and click the bar at the top, should then show the path that you can copy/paste in the shortcut properties.
e.g. I had to change mine from:
F:\Games\MUGEN-HYPER-EDITION\DoNotUse.exe -r MMMBE
To:
"D:\AVG Web Tune\MUGEN-HYPER-EDITION\DoNotUse.exe" -r MMMBE
Please note that I had to use "" around the path, which is because the path had spaces in it: "AVG Web Tune".
I also changed the "Start In" value to match the correct path as well. Also needed the "" there as well.
So my value there became:
"D:\AVG Web Tune\MUGEN-HYPER-EDITION\DoNotUse.exe"