Kinda old, but did you try setting format/location to japanese as well? I havne't used XP in awhile, but they should be option under the same regional and language setting. I found that some games, for some reason, do not work unless you change the format (such that time and dates are in a japanese format) and location to japan, they don't work. Some games do work, but if the format isn't changed to japanese in the regional and language settings, the japanese text comes out as gibberish.
This kinda goes for everything, not just eroge (such as japanese/korean MMOs). But yeah, other than that I have no clue haha.