You might be missing a lot of files then. Double check that you've downloaded everything: a full version of the game (I'd suggest the MEGA download link for now), RPG Maker 2000 and its RTP. Start completely from scratch if you need to. Also try running RPG Maker through Applocale in Japanese and load Yume 2kki directly through that. If it doesn't work, then I don't know what's wrong with it.
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