Assuming you have your Windows XP disc handy, or did a full install including the installation files for Windows, then...
1. Open your control panel, and open Regional and Language Options.
2. Make sure the install files for East Asian languages box is checked.

You can have the box above it checked, but I don't think it matters all that much.
3. Click details.
4. Screen should look like this. I've got a few extra things on their you probably don't have, but don't worry about it.
5. Click add.
6. Set the input to Japanese, and it should have Microsoft IME as default in the next box. Hit Ok.
7. Hit Language Bar.
8. I have all the options selected, but just make sure show up on desktop is.
Hit ok till you're clear of the whole menu. It'll ask you for your disc if you don't have the files already setup.
Now you have a language bar, it looks like this:
8. In order to type in Japanese, make sure you have whatever program you want up front, and that it supports japanese. Notepad does, Trillian does, Photoshop does, many programs do. AIM doesn't, and I imagine many others also don't.
Click English and select Japanese:
9. It'll switch some options. Now, you hit Input Mode and select what you want to type in.

Hirigana for that, Katakana for that, Direct Input for regular English, and some other options if you want to use those. To type out Kanji, select anything but the alpha and Direct Input options (I usually use hirigana and katanana) and type out the word you want. For example, "aki", which is Autumn.
So, you type out aki, and it'll have it in hirigana, or whatever:
あき。Then hit space. It should pop up a little side menu, and you can select what you want it represented as, various kanji, hirigana, katakana, etc. The correct kanji for "aki" is
秋. So I'd select it from the list. My impression is that japanese use this method for typing, but I've never seen it done beyond the GTO movie, so I'm not exactly a reliable source on that. I use a dictionary to look up words, and a kanji lookup to confirm useage:
http://dict.regex.info/cgi-bin/j-e/jis/dict
There you go. Posted on 6.0, but I figure it's interesting to see as a tutorial here. This works for any language, as you can see I had Chinese enabled too. I understand the phonetics of Japanese, and Chinese doesn't even have phontics, but other languages are likely just as easy to type.