Where can you download free software to make rpgs games?

In my opinion, the most user-friendly and feature-filled RPG editor out there is RPG Maker VX. You literally can make complete Sprite-based RPGs without any scripting knowledge whatsoever. The downside here, is that, unfortunately, you will have to pay for it. It costs the same as a new game, 50 bucks, but it does include a free month trial, so you can try it out for a while and no harm done. You can even import your own graphics if you like.

A cheap (but not free) option is to take a look at the Neverwinter Nights community. NWN comes with an editor that will allow you to create your own games. If you don't have any programming knowledge, there are some programs you can which will generate scripts for you, very user friendly. So, again, I know that's not what you asked for, but 10 bucks ain't bad.