Well, if you have the language packs themselves installed you can do what I do and screw Applocale. Instead you go to your system controls and there to your language options. Now choose Japanese for the language to use when running non-unicode programs and it should work. Well, it does with me, at least.
It is a little annoying to be forced to restart the PC everytime one wants to switch between tinkering with danmakufu and using the pc normally, but hey, you can use Danmakufu, that's what counts.