For WinXP, you can get Japanese in consoles if you go to Control Panel > Regional and Language Options > Advanced tab, and set the region for non-Unicode applications to Japanese. It also changes \ to yen symbols (but operate the same as before), and may be irritating to some people. I usually have it set for Japanese since I use the occasional Japanese emulator, and I'd rather see Japanese that I don't understand than gibberish that I don't understand.
I always have that set too, but you still need some trickery to get the console to work since it only supports CP932 (Shift_JIS) and not Unicode:
I generally keep the console set to good old CP437 though, otherwise anything that uses box drawing characters doesn't work right.