I have no idea what you have done or what you have not done. The official game store says that the game will most likely not function properly unless it's played with the Japanese system locale.
There are a lot of Japanese names in this game. If your system locale is not set to Japanese, or if you don't have the Japanese language pack properly installed on your PC, then some of the file names might get corrupted when you unpack the game from its archive after you download it.
Did you change your system locale to Japanese BEFORE extracting the game and playing it? If not, then do that, because that's probably why you're having problems.
If yes, then there can be 3 reasons as to why it's not working properly, in my opinion. And they are:
1) There is something wrong with the game itself, which the developer should fix.
2) There is something wrong with your system that's causing the game to not function properly.
3) The guy who machine translated the game messed something up.
I checked the number of downloads from the links I've provided. Many thousands of people have already downloaded the game, and many seemed to have been able to finish the game without any issues. Myself included.
Only a few people have had issues running this game. That makes me believe that those people either did not follow the instructions I wrote regarding changing the system locale to Japanese, or it's the reasons number 2.