Well, first of all this only applies to users of Window$ 2000, XP, and Vista. Everyone else is out of luck.
I'm gonna start with the most convenient option first - AppLocale. AppLocale does what it sounds like it does.... localizes applications. AppLocale is for Windows XP and up and can be downloaded free here http://www.microsoft.com/globaldev/tools/apploc.mspx in exchange for you mortal soul (or rather... a windows validation). The problem with AppLocale is that it doesn't work on all games (Clannad for example) for this it is considered inferior to true Japanese non-unicode settings.
For instructions on how to install AppLocale, click here (they are specific to KNGE but work for any program).
Your other option is to change your non-unicode settings to Japanese, the problem with this is it changes some normal programs to Japanese as well such as - part of Microsoft Paint, Apple Software Updater, and the part of the installer for the Windows Validator plugin. Most of theses programs only change partially in to Japanese so they can be navigated fairly easily (all the menus in MS Paint stay in English). If you play a lot of Japanese games this may be the best choice for you.
For instructions visit http://www.microsoft.com/globaldev/handson/user/xpintlsupp.mspx will give you basic instructions; don't forget to install East Asian support files (you might need your Windows CD).
If something doesn't work try this - (I only have found one that needed this ever. An untranslated trial for a minor game.)
- Open the [Regional and Language Options].
- Click on the [Regional Options] tab.
- Select [Japanese] from the pull-down menu at the [Standards and Formats] section.