Ok... I'll try to help you out.
RPG Maker is a great RPG creating software Translated to English by Don Miguel. The version You are trying to run now is RPG Maker 2002 if I'm not mistaken.
The problem you are having is that you don't Have RPG maker per se.... but the RTP.
RTP is a pack that contains all the basic Sprites, fonts, graphics and music for you to start your own Adventure. This is because basically most RPG creators do their own work (originality is always best but couldn't hurt to have a few backup work in case you can't find or create your own work).
Now what you have to do Is Install the RPG maker 2002 and THEN install the RPT.
Also... once you get along with this powerfull tool you can move on to RPG maker 2003, the most modern version translated (again) by Don Miguel. It was a far more powerfull interface and dosen't need the RTP because it's already included.
So to help you out (hope this is not a bad thing) here is an URL:
RPG maker arquives
DO this: Register so you can download RPG maker 2002 and 2003 (if you are in the mood).
When you extract the RPG maker 2002 there you will find another Zip. Forget it for now. Run the RPG maker 2002 setup and install it. Then Extract the other zip, wich contains the RTP Setup. Install it and...Voila! You got RPG maker 2002 working!!! HUZZA!
Rpg maker 2003 dosen't need this many twists as I said before, just install it (there is no ptoblem with compability... they are two stand alone programs). The only thing you have to be carefull is that games created by RPG maker 2002 can only be played in it, not in 2003 (and Vice-versa), because they have two diferent battle engines.
There you go. Hope I could help in some way... and have fun with this tool. NOW GO AND CREATE YOUR RPGS!!!