There shouldn't be any difference between Japanese filenames and language support, but I'll go through my steps.
Setting>Control Panel>Regional & Language (of course)
In the Languages Tab make sure Install files for East Asian Languages is Checked. Then in Details add Japanese so that it looks like this:
After that, go to the Advanced tab and Check "Extend support of advanced text services to all programs"
This causes some programs will automaticaly become Japanese for some reason. (My Azerous is Japanese because I haven't figured out how to make it english without turning off Asian support entirely)
After that, I go back to R&L options>Advanced, and set non-Unicode Programs to Japanese.
That's basically how I have my options set up. Because I just alter things until stuff works I don't know how helpfull any of this is, but it's working for me. ^_^;
*pops some confetti*