I won't pretend to be an expert on the subject, but doing some research, the odds of a MUGEN character download badly affecting a PC to the point of bricking it are slim to impossible in this day and age. Let's try to look at this rationally rather than with creepypasta-logic. Worse, the widespread belief in Mathrus's insane destructive capabilities seems to stem entirely from Chinese whispers and unsubstantiated rumours, resulting in children and less computer-literate folks accepting it unquestioningly. However, there's no evidence whatsoever that supports the existence of Mathrus the PC-bricking virus. It was a typical case of kids making up rules in playground games to get an edge, but on a slightly larger scale. The increased competition did indeed lead to creators trying to outdo each other with even more broken characters, resulting in characters winning before the round even starts among other mostly harmless exploits. Though really, it was an inevitability from day one that people would want to push the engine to its limits, there have been purposefully cheap characters from the very beginning of MUGEN. It is popularly considered that Ironcommando's A-Bomb was the first shot fired, as it was a character solely created to be an instant game winner button, effectively. However, by all accounts, it was far less exciting than the horror stories indicate. The so-called Cheapie Arms Race did happen.
Mathrus brought things to an extreme level, however, by being a literal malware virus that can not only crash MUGEN, but brick the player's PC and spread itself to nearby computers. This culminated in "uber-cheapies" so busted they could affect the MUGEN engine in various destructive ways - forcing the game to only accept the uber-cheapie's victory, overloading the game with useless memory, deleting enemy characters' very code, disabling the task manager, etc. Mathrus's creation was the final word in the Cheapie Arms Race, a dick-measuring competition between MUGEN authors to outdo one another with increasingly gamebreaking creations. A "Dragon-Tier cheapie" so overpowered, so dangerous, he's transcended MUGEN to become a threat to your very PC and has had to be shielded from public consumption. His name echoes throughout MUGEN forums and wikis across the globe.