I'd assume that everyone here has seen it, but for those who've never had the pleasure, this might be as close to an authentic anime/movie KoF will ever get. Takes place in the Maximum Impact storyline (maybe implies it's somewhere between 03-XI-XIII too), and features 3 characters exclusive to MI (Alba, Soiree, Lien), and you'll know the rest.
(Ep 1)
(Ep 2)
(Ep 3)
(Ep 4)
All English subbed and Japanese audio. I wouldn't suggest looking for English Dub.