Install East Asian Language support. The language support files can either be downloaded from Microsoft's support site or can be found in your Windows install disk. To check to see if you have them installed or not, go to Control Panel -> Region and Language Options -> Languages -> Install Files for East Asian Languages. If the check box is already checked and the text greyed out, that means it's already installed.
Under the Advanced tab in the same control panel, there will be a section called Language for Non-Unicode Programs. In the drop-down menu there select Japanese and click Apply.
Another thing that might be necessary : under the same control panel, go to the Regional Options tab. Under the Standards and Formats section there will be a drop-down menu. Select Japanese from this drop-down menu and click Apply.
Once all this is done, you may need to restart. After restart, try reinstalling Vanguard Princess from the EXE.
Hope this helps.