What version of Windows do you have? If you have Windows XP, you don't need to download anything, it's on the installation CD. Just follow the steps Endless said in his first post, skipping the bit about downloading from the MS site. You might have to download if you're using Windows 2000 though, I can't remember. In either case, it should work with any recent version of Office - Office is not even required to have japanese input. It'll work in other programs too, like Mozilla Firefox.

Note Office is not Windows, since you appear to be confusing them in your last post