HOW DO I PLAY A GAME?

You need the runtime package for each version of RPG Maker. For example, if the game you're trying to play was made in RPG Maker XP, you would need to download RPG Maker XP RTP. You can download each for free, just google them.

Calunio, that was... pretty funny, actually. Peterquinn, you need to also have a rar file of sorts (like 7zip or WinRar) to be able to extract the files you download in addition to the RTP the game was made for (ie., RMXP games need RMXP RTP).

You can get the RTP by going to rpgmakerweb.com.