The VG Resource

When making a stage for a game(fighting) you must use perspective. What exactly is perspective..?

http://en.wikipedia.org/wiki/Perspective_(graphical)

But seriously, the easiest thing for you would be to pick up some books and read up on this.
I can't think/find any right now, but I'm sure someone will be able to give you some, just try researching it.

it adds the illusion of depth.

since you are working with a 2d medium, you have to make people think it looks 3d.
so to fake that, you need to use perspective.

there's no one way to approach it, the technique you use depends on what you're making.

Yes, I understand it better now. My work looks a lot better now.