NOTE: Everything in computer graphics is on a 2d grid, which is the computer screen. However, unlike a standard 2d graph, The origin is the top left of the screen, and the y axis is flipped, like this: 
please keep this in mind when answering.
I am developing a game. Assuming the player is at (px, py), and the player is facing in the direction of
(fx, fy), what is a formula that I could use to move the player $n$ units closer to point (fx, fy)? The player should move along the line [(px, py), (fx, fy)]
You can think of them as vectors, but basically, you can use linear interpolation:
Consider distance $d$ between the player’s position and the point it is facing.
$$d=\sqrt{(f_x-p_x)^2+(f_y-p_y)^2}$$
$$\left(p_x+\frac{n}{d}(f_x-p_x), p_y+\frac{n}{d}(f_y-p_y)\right)$$
So for the coordinate above, $f_x-p_x$ is the difference in the $x$ coordinate between the two points and $f_y-p_y$ is the difference in the $y$ coordinate between the two points. The fraction $\frac{n}{d}$ is the percent of the distance relative to the entire distance. For example, let's say the $x$ difference between the two points is $5$ and you want to move $2$ units. The fraction would be $\frac{2}{5}$. And all that's left is to add that change to the original.