I can start without japanese locale... not sure why but if anyone knows or needs to ask me config settings that might shed light on why, i'm happy to help
Not sure what else to say about Local Emulator not working, it worked fine for me without having to make any extra effort. Zippix suggested renaming the .exe, there's other emulators to try out from the previous comments link if it is a Windows 10 thing. Looks like the games already on the desktop. You can modify the Emulators launch settings, but I didn't touch it.
Sometimes the Japanese file names get screwed up from the extraction (gets turned into something like ò¤æÈìò), but that doesn't seem to happen here.
Mine gives an error in Japanese text and the word krdevui.dll. not sure what the problem is, I gave it a normal extract with winrar, renamed the exe to Game.exe and ran with Japanese locale.
for some reason if I move the zip file to other folder then I can't open the game even if I use Locale Emulator. The solution is just extract the file right there to the folder you had download. for me it's at normal Download folder.