Since you said "like YN" I'm assuming you're using RPG Maker 2003, but depends on what kind of effect you want, I'd like you to be more specific, I can't tell if you're asking for something easy or complicated…
Common events are your friends, there are tutorials everywhere, this thread has a few examples on different kinds:
>>>/fg/165Since this was already discussed a hundred times here, I wondered for a second if there was documentation or tutorials explaining how to do this and similar stuff, it was a short second.
I had the courage to google it, and Bleetsy made a very friendly resume on how to make a cosmetic effect:
http://bleetdev.tumblr.com/post/18155138894/hi-i-am-trying-to-make-a-yume-nikki-fan-game-i