It sounds like your trying to run a .exe file, that is the published version of a game, if your still editing you should be messing with the .wmp files, .wmp files are editable and are messed with in MED, and WED however .exe files are the final product, by changing something that that has already been compiled you are quite successfully breaking the game, you must hit the build and run key when editing your game, not the publish key (in file).
Start out with the tutorials, or an AUM or two, since it doesn't seem like you've really mastered the basics yet.