I haven't seen a write protected game myself - make sure the folder is directly off of the Project folder. Some people pack their games inside of a folder, so if you unzip MegaGame to C:\RPGMaker\Project\MegaGame, the actual folder might be C:\RPGMaker\Project\MegaGame\MegaGame and won't open in RPG Maker.

As to font, you do that directly in the "Show Message" command. You basically do this: \c[0]Hello. You can change the number in the brackets to anything between 0 and 19 (anything above that gives the same color as 19). The colors are determined by the system graphic, located in the System tab at the bottom right. The default sets all have the same color, but you could always edit them if you want a different scheme. \c[0] is normal text, by the way, and any color that you set continues for the rest of the message, or until you change it.

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\c[2]BlueCube
\c[0] My name is highlighted!
\c[1]1\c[2]2\c[3]3\c[4]4\c[5]5\c[6]6\c[7]7\c[8]8\c[9]9\c[10]0
\c[11]1\c[12]2\c[13]3\c[14]4\c[15]5\c[16]6\c[17]7\c[18]8\c[19]9\c[20]0

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Which comes out like this: