If files are missing, install the required runtime package (RTP; see Installation in the opening post, different games need different packages). If the RTP does not solve the issue, extract again with a different extractor or different encoding settings - the extractor must handle the Japanese encoding correctly. Use a simple file path like "X:\Games\Miko" (alphanumericals only, no spaces, no virtual anything, etc.). Download the game archive again as a last resort.
Most of the time, file issues result from a failed extraction or a missing RTP. If memory serves, there should be no need to change system locale to Japanese (or emulate it). Only matters for the encoding/decoding.
If you're on Android/IOS/MacOS/not-Windows, then it's an emulation issue and your best bet is looking for help in that community.