If you're not familiar with RPG Maker, just get the one with "RTP" in the title. That one should definitely work for you.
SierraLee
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What you download is an EXE file that will extract the game's contents to a folder. When you click on it, you should be able to decide where that folder goes. Once the process is complete, go to that folder. In addition to giving you access to your saves and other info, this folder will contain the launcher for the game.
There are definitely people who can help you with this, but these comments aren't the best place to find them. I would suggest asking on the forum, wiki, or Discord, all of which are linked from my blog:
https://the-last-sovereign.blogspot.com/
If you want tips or guides, the wiki has multiple! If you want to cheat ProN, as you mentioned in your other comment, you can get information from players on the various channels. Hope that helps!
Sorry to hear you're having trouble! The game does not manipulate/delete your files under any circumstances, so there is likely a computer setting getting in the way. Is the game in a folder that requires permissions to write new files, for example? It could also be an overactive antivirus eating new files.
I don't know if this link will work, but for example, here's a guide I can vouch for:
https://steamcommunity.com/sharedfiles/filedetails/?id=1396963463
If you repeat the same steps as the first cycle, the same things will happen each time. The line about "break the cycle" is to encourage you to try different things, actions you weren't supposed to do before. If you're having trouble, try looking for the guides for the game - even if you don't want to use them, they'll get you on the right track.
I can't regularly update every single platform, so you can go to my blog for newer versions (http://the-last-sovereign.blogspot.com/). The most recent update was last weekend! The itch.io version will be updated once the game reaches completion.