You need the runtime package found here, and this is free: https://www.rpgmakerweb.com//run-time-package
Note that this game was technically made using RPG Maker 2000, so if the RPG Maker VX runtime package doesn't work, try installing the RPG Maker 2000 package as well. Once installed you don't need to install it ever again to play any of the other RPG Maker games.