Black Tiger is a linear game, played through eight stages. You must complete each stage by reaching and defeating the boss before advancing to the next stage. Each stage introduces stronger enemies not found in the previous stage. The only way to increase your strength is by collecting enough money in the form of Zenny, and spending that Zenny on items in shops run by particular captive that you must find and free.
Shopping is an essential part of the game, as it is the only way to 1. obtain stronger weapons, and 2. obtain antidote potions. Stronger weapons defeat enemies faster, while stronger armor will help you survive more hits. Weapon upgrades are expensive but permanent, while armor purchases only last until taking damage. It is wise to save money for weapon upgrades as your first shopping priority. After you purchase the strongest weapon (which you should be able to afford by level 6 at the latest, even on the hardest difficulty), money can be freely spent on armor. Early on, if you arrive at a shop naked, low on health, and desperate, it is wise to purchase only the lowest level armor for some extra survivability; this is the cheapest option (note higher level armor gets exponentially more expensive), allowing you to save for the better weapons.
Up until around Stage 5, you can get enough keys from pots to open every treasure chest found. Later on, keys start to become rare compared to the number of chests encountered. By level 4, each chest can contain up to 1000 zenny in treasure, so in later stages it is worthwhile to make sure you always have a stock of keys. By level 6, keeping at least 10 keys should be enough for every treasure chest you find between shops.
In levels 5+, many enemies have poison attacks, and being poisoned without any antidotes on hand is basically a death sentence (poison either nerfs your attack power by taking away your daggers, or reverses your controls), so having a sufficient stock of antidotes is essential. In stages 6,7, and 8 (after you have already maxed your weapon), keeping from 5-10 antidotes is a good safety measure.