In Yume Nikki (Dream Diary), you're cast as a young girl living in a small apartment. There is very little to do in your room, but fall asleep and an entire dream world is yours to explore. The Z key can be used to interact or gain new effects. Certain locations beyond each door may yield more than one effect for the player to discover. Press 9 to wake yourself up. Use the desk in the room to save your progress, and hold the escape key for more than two seconds to exit the NASU console game.
Acquiring the bicycle, lamp and knife should be at the top of your list, as these items will double your character's speed, light up dark areas and allow basic attack moves to be executed. Nearly all locations are wrapped around, hence walking in one direction endlessly will always bring you back to the starting point.
Installation instructions are provided in the zip file. Dream Diary does have a proper ending.