1, no real answer for what you're doing wrong, but it could be that the directory name for the rtp is in japanese [RTPｾｯﾄｱｯﾌﾟ], couldnt hurt to rename it to something else. could also be the other things it mentions, like the filename being partially japanese or the encoding being broken.
2, the downloads for yume 2kki are, well, broken right now. the official uploader is outdated and the new version mirrors all have their text scrambled. I'm waiting on the next version myself. :P
edit: looks like the dropbox is back actually, but the encoding was broken when i tried to download it.