Hey just saw your post and chat with HOF and think I know what your problem is.
1st Make sure you have RPG Maker installed.
2nd Have you heard of WinRar, it compresses stuff so they can be uploaded easier and quicker to the internet, google WinRar and download and install the evaluation/ trial of this program(They say trial but it will work even after it expires )
3rd UnRar the contents into a folder, open the folder and look for Game.exe and doubler click and it should open into the game
Have fun playing and just VM back with any more problems