I can see this is an old thread, but just in case anyone finds it off of google, I feel like it might help to answer Punlord's Question:
It took me a while to find the fix.
The problem is, a North American system's "Windows Install Guard" can't handle files that have Japanese names. So when you installed it, a lot of the files didn't get installed, including the one its mad it can't find.
Go to the folder you were installing from. The one that has "setup" in it. Copy all the files, and paste them into the folder you installed to.
It's a silly problem and it has a silly solution.
Get Textractor. You need it, or some other program that is capable of Emulating a Japanese Locale when you run the game.
The added advantage of using Text tractor is that it can put the game in English for you.,