Go into "Battle Layout" on the Database. Set the Random Encounter Death Handler to "Game Over".
Setting up diifferent backgrounds - that's easy. Go into your map properties and set the Battle Background to "Use Terrain Settings". I'm assuming that you're using the default tilesets. If you're not, say so and I'll walk you through setting that up.
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If you mean a battle you set up with an event, I'll go through that later. No time for that now..