In my experience, this is one of three things:
1. You don't know the controls. arrow keys are move, spacebar is accept, esc is menu....
2. I have heard of problems when testing the game through RPG maker (Most of them seem to lie in testing battles) So try to test from the source. Go to the game folder (If you don't know where it is, in windows it should show up in computer > C:/ (Or whichever disc drive you use) > Program files > Rpg2003 > project, unless you changed the path when you made your game) and open up the game file (The icon should be a sword.)
3. RPG maker may not have installed properly. just try to make a new project and see if that works, or reinstall rpg maker. And make sure you didn't download a hacked copy. RMRK does have a copy that, in my experience, works well, so if nothing else works, download that and try again.