for adding a custom downloaded character with brawlEX, first you have to add an original character, here's a noob-friendly tutorial:
https://www.youtube.com/watch?v=UoWad-wuqFswhen you have the new character added, just change all the files for the downloaded ones, just like modding a normal character in normal brawl, in this case, roy is a marth based character, so you need to add an EX-Marth character, Name it "Roy" and then replace the EX-marth fighter files with the downloaded Roy Fighter Files.