my first tip for anyone ever trying start using rpgmaker xp or making yume nikki fangames is to just watch tonnes of tutorials on the internet. most things aren't intuitive or out of the box and you might need a lot of help when it comes to something very specific.
oh, and also get used to searching through forums and finding posts with "nevermind fixed". it's a very common thing, so heads up for that.
otherwise, just go nuts. spriting can easily be done in mspaint but if you want something exact use gimp or krita.
for music i suggest either pxtone, if you want something more chiptune sounding or lmms if you want to use actual soundfonts.
oh, and most importantly, dont give up. it tends to happen a lot because of the problems that arrive when using older software like XP on more modern hardware, but getting through those troubles is part of the experience, i would say.