I like to use WinHiip for installing my downloaded/jap games. You'll need to put your PS2 hdd in your computer and run WinHiip. Installation is pretty straight forward so you shouldn't have any problems. WinHiip is also a great way for saving your games on your PS2 hdd to your PC.
Some jap games need to run in different modes. You can search for hdloader and the game name you have, and see how other people have gotten the game to work. Most people will post if they had to run it in a different mode or not.
