To add to that: when you unzip a game, but you're in the wrong local, the unzipped game is corrupt. Even if you change your locale, it won't run unless you go back to the zip file and start over, delete the extracted game, and extract again.
Changing "language for non unicode" to japanese doesn't mess your system up if you normally run your computer in English. The Japanese region supports English, so you can leave your controls and display and stuff in English. Just change that one thing.