To make it quick, the color depth is the number of colors in the palette. For RPG Maker 2000/2003, it must have a 8-bit color depth (256 colors)
It's better to use indexed colors from Gimp, because if the original pic uses less than 256 colors it will keep the original pic's colors and if it has more than 256 colors it will remove color variations that are too similar to have the closest 256 colors palette as possible, while Paint uses a pre-defined 256 colors palette when saving the pic as a 256 colors Bitmap :)