Scratch is all about snapping 'blocks' together to create 'scripts'. These are the things that tell the sprites what to do. You can try experimenting with different types of blocks to see what they do. If you can't figure out what a block does, right-click on it, and select 'help'.
It's kind of hard to explain it all in one post, so you can try checking out the Scratch Wiki, or you can create a topic about it in the All About Scratch forum.
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It is worth mentioning that Scratch isn't exclusively made to make games. This is both good and bad. It is good because that leaves the kinds of projects wide open. Anything from animations, to physics simulations, to games is possible. This is bad for those who exclusively want to make games - especially those who are new to game making - because they have to build the entire game from... well... scratch (this is actually good for programming development and, once you get the hang of it, allows for much greater variety, but for newcomers, it is inconvenient).
I can't tell you how to make a game, simply because of the wide variety of games you can make. A platformer is programmed differently than a board game, which is in no way similar to a top-down rpg. All these games are possible to make on Scratch, though making good games is difficult and requires skills in multiple areas (graphics, programming, and animation).
Sorry if there is no advice in there, but I'm not sure I can give any advice on such a broad topic.
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Well, it takes time to learn. Sprites and the stage are the ones containing Scripts. Scripts basically program the game.
If you need more help (I would), you can look at the Scratch Wiki. However, if you don't find what you're looking for, you can make a topic in the All About Scratch forum.
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