You can download the game at MegaPhilX.com, the official site of MMU.

If you want to run as Mega Man and be able to get the fastest possible time, download v1.1.0SR (labeled as "Speedrunner-Friendly Version (v1.1.0)"). It has a bunch of glitches and quick KOs that make it faster than any other version. You will need to turn vsync off if you want the Glue Zips to be fast.

If you want to run anything else, download v1.3.1. It's the most stable version and has every mode you would need. Please note that you cannot play as Z-Prototype (aka Zero) until you beat the game as Mega Man on Original or Insta-Death difficulty (or you get a save that has already done so).