Are you hitting the OK button at the lower right? If the first thing you think is "There is no OK button!" then you need to bump up your screen resolution. Right-click on the Windows desktop, choose Properties, and then hit the Settings tab.

I bumped up mine from 1024x768 to 1152x864 just to work in RPG Maker XP. If you want to go even further and mess around with scripts, you're going to have to go to 1280x1024..

Yeah, I have no idea why they're requiring such a high resolution, either.