Let's check one of the basics --> Did you actually extract the game somewhere and are playing it
from there, OR are you playing the game from within the compressed archive itself? If it is the latter, then you need to do the former first.
Occasionally there's odd issues that comes up in RPGM games. One of the them sometimes happens when the game is located in "Program Files" and is unable to save in its own directory. Try running it the game in Administrator mode. (Right-click on the executable game file and select "Run as Administrator".) You can also make sure you have the latest versions of your RPGM RTPs, found here:
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. I don't know which engine that game you're trying uses, but if it's MV then you won't need to download anything else (in regards to RTPs). Also, RPGM games don't typically like to be too deep in their directory level. That's just something to consider.
Hopefully one of these suggestions will resolve the issue you're having. Good luck!