DbPro is just like any other advanced applications system. You have to learn how to crawl with it before you can run the four minute mile. As IanM said you have to know how to include and use all the extra material that is included in the process of coding a game but that doesn't actually exist inside the body of the code itself.
It's like you telephoning a friend. Just because you are then having a conversation with your friend, doesn't mean that this friend is actually in the room with you. It's the same with loading code that someone else has written. Even if they have included the media extras that go with that code this does not mean that YOU don't have to download it separately and place it inside the same directory as the code that you are using.
You would probably be better off starting with some of the excellent tutorials for DBPro and gradually working your way up the knowledge base.
Eternal student in search of knowledge. But will settle for the occasional epiphany.