So, things you will need is:
1. Gamecube/Wii emulator Dolphin. The newest version is v3.0. You can download it from here:
http://dolphin-emu.googlecode.com/files ... -win32.exe
Please note that dumping/loading textures option is not working on newer emulator builds.
2. Your game.
**I won't get into the details on how to run game or change controls. There are plenty explanations on the web about that.**
***DUMPING***
STEP 1.
Run your game. The easiest way to do this is to open your game's ISO through File/Open.
STEP 2.
Go to Options/Graphic Settings. Select "Advanced" tab, tick "Dump Textures" and close.
At this point of the game emulator will start dumping textures that are presently using. So if you're in fighter selection selection window it will export everything related to that (avatar pictures, backgrounds) but not fighter or arena textures. So if you want to get fighter textures you must select the fighter you want and start the match. You can turn on/off this feature at any time of the game.
STEP 3.
So, as soon as your textures are getting dumped go to ~your emulator location/User/Dump/Textures. Initially this folder is empty but after dumping the textures there will be created a folder according to game (and it's region PAL/NTSC/JAP) in coded name (in my case it was GMKD5D). It will look something like this:

***LOADING***
STEP 1.
So, let's take any texture (ie.: I'll take Scorpions costume). Modify it in any way you wish (you can even increase texture size) and save it as PNG with the same name you picked.
STEP 2.
In ~your emulator location/User/Load/Textures create a folder with the same as was in dumped textures (in my case it was GMKD5D). Place your modified texture in it.

STEP 3.
Go to Options/Graphic Settings. Select "Advanced" tab, tick "Load Custom Textures" and close.
You can turn on/off this feature at any time of the game.
So, I changed Scorpion's costume color:





