You need an IME. I think you can just install it from your Windows CD. Go to your language settings and add another input method. I'm using a Dutch version so I'm not sure if your version is exactly the same. Anyway, on the right hand side, near my clock, there's a small icon with the letters "NL" (referring to Nederlands) but if I switch it to English it says "EN". You can just click on the icon and pick another one if you got any other options. If you don't have any other options you have to right-click it and select 'settings/configuration'.
Then you see a screen with 'standard input language' (or something like that) and below that you've got 'installed services'. Right now, I have two different input methods there. (Dutch and Chinese (PRC) ) I guess right now you only have English so you have to "Add" Japanese to that list.
P.s. You might want to make sure that 'Support for East-Asian languages' is ticked in your Country Settings. (You can get there by going to Start --> Configurations --> Country/Area Settings --> Languages) You can also just click details in that tab and it will show you the screen I mention above. (Where you can select Japanese/Chinese/Korean etc.)