It is the setting that tells non-unicode programs what encoding to use. Clearly your issue has nothing to do with fonts.
Windows XP:
Click on the start button and select "Control Panel".
If Control Panel is in category view then click on "Date, Time, Language, and Regional Options", otherwise skip to the next step.
Go to Regional and Language Options > Administrative.
Set the dropdown to "Japanese (Japan)".
Windows 7:
Click on the start button and select "Control Panel".
If Control Panel is in category view then go to "Clock, Language, and Region", otherwise skip to the next step.
Go to Region and Language > Administrative > Change System Locale.
Set to "Japanese (Japan)".
Windows 8:
Right-click on the start button and select "Control Panel".
If Control Panel is in category view then go to "Clock, Language and Region", otherwise skip to the next step.
Go to Region > Administrative > Change System Locale.
Set to "Japanese (Japan)".
No Windows 10 instructions because I don't have a Windows 10 machine.