You know you can Google all of the information you need…or use Windows XP Help to learn how to do this.
1. Control Panels -> Regional and Language Options
2. Click on Languages Tab
3. Check Install Files for East Asian Languages. It should install all the files directly (on a normal install) or ask for the CD if you did your own install.
4. Once you’ve done this, you can click on the Details button on that same page and install/add services. One of the services you’ll want to add is the Japanese Keyboard one.