Did you actually run the game in Japanese locale? With that I mean right-click on the Start.exe file, choose Locale Emulator->Run in Japanese. If that does not work I guess your download was corrupted or something. I personally use 7zip to unpack the compressed files. Also - Make sure your virus scanner does not delete files.
Other than that I cannot give you any advise, because everything runs fine on my Windows 10 machine using the Locale Emulator. So if this does not work, I am afraid I cannot help you...