Most people have problems with Japanese games, because Japanese developers are overly obsessed with pretty much anything made by Microsoft, and they are committed to build their games utilizing solely Microsoft technology, no matter how unstable and cumbersome the result will be.
RPG Maker, for example, utilizes GDI for graphics, and some ActiveX stuff to play MP3s. The latter is famous for going haywhire now and then, resulting in either a "Not implemented." message box, or a total crash.
There's nothing can be done. Check if you don't use any ActiveX apps before launching the game.