Try running the installer with Windows XP compatibility mode. Although it does not effect any of my own computers, the filenames could cause an issue on your computer if not correctly named in Japanese. You should use the Windows Vista install CD to install the Japanese locale.
It might be easier just to switch the locale to Japanese when you install the game than to use applocale, because, from what I've heard, applocale has compatibility issues with Windows Vista.
As Drake stated, the game cannot create and modify a .txt config file on the disc itself, because the disc is not writable. Make sure you are logged into the Administrator account when you run setup.