Yes, I was indeed running that shortcut. I tried again and same result.
If I double click the file, it starts the process but that's all. I don't get a game window or anything. I only get the blue window if I open it with Japanese locale and Admin. I was using this http://www.hongfire.com/forum/showthread.php/328830-How-to-run-Japanese-games before, but even after switching my PC locale to Japanese the old fashioned way, it still behaved the same.