Pretty much any game you download will be in a zip file. I have been using WinRar or B1 archiver for extraction. I read somewhere that having Daemon tools installed can cause some kind of problem for...some game. I can't remember. It had a workaround, but I can't remember that either. ^,^ I didn't know what it was at first, but when I found out it was just for extracting, I was like "...why wouldn't I simply use Winrar as always?". Just install, and right-click the zip file to see Extract options.
And remember, any game that is Japanese will likely require you to have your system locale set to Japanese (or use AppLocale, but I don't see the point). So:
Press Windows button, click Control Panel-->Clock, Language and Region-->Region and Language. At the top, click the second tab named Location, and open the dropdown, and scroll down to Japan. Now Japanese games will install and run fine (unless they came without the proper dll files or something, which is so often the case). Mine has been in Japanese locale for years now. :p
Oh, and I wouldn't even bother installing any games to your C drive. If you have an external hard drive, use that. Especially if your comp uses a SSD and not a HDD. Putting a game on your C drive, at least in the default location games want to install to, will often lead to permission errors, and can be totally avoided by simply clicking Browse when it asks where you want to install, and browsing to a different drive. I use my D: (my external hard drive).
This is all just basically a more elaborate way of saying the same dam thing nanashi said.