Well, the only change I had to make to run any japanese game properly was simply this:
Windows 7:
Control Panel - Clock, Language and Region - Region and Language - Click the Administrative tab - Under the Language for non-Unicode programs section, click Change system locale and select the desired language (Japan).
Maybe you will have to restart PC.
And voila. After doing this, every japan game I download works without a problem.
I don't use these japan emulators, because they mess up the text. There are some weird symbols etc... By changing the locale settings, I have nice and clean sentences.
The game is in english, but game file names are still in original language they were named in - japan. To put it simply, it's like game telling OS - Hey, open up file 'startup.xml' - OS understands it. But if it is non-unicode program it's like game telling OS - Hey, open up file '?????.????' - and OS is like WAAT? You on drugs or something? Can't find the file!