If I had to guess, I would say your problem stems from not having your computer use Japanese AppLocale.
[EDIT]
If anyone else seems to have problems, see if you can copy/paste these
サイバーくノ一アヤメX.exe
サイバーくノ一アヤメX.kgt
森.stage
森2.stage
[EDIT 2]
I played through the game and pretty much finished the whole thing in 20 minutes. There are two modes.
Story Mode (where you play as Ayame, the character on the title screen) and Punish Mode (where you play as a male ninja)
In Story Mode, you just go stage to stage until the end. I died against the final boss and I didn't feel like trying again, so I went to Punish Mode.
Punish Mode gets you the same gameplay, but you get a quick H / Ryona / Torture scene at the end of every stage where you torture the boss a little before killing them in gruesome ways (though you can skip this part). There's not much of a sense of achievement of getting these torture scenes since you can access them from the Punish Mode menu anyways.
As for the gameplay, it's really bland. Mash a specific button until your enemy dies. Fatal Fight does the whole thing a little better, I think, but this is good for people who like a female protagonist getting dominated by baddies.