I too have the same error and I was searching around and found this solution
First of all, make sure your non-unicode language is set to Japanese before you extract the files from the archive as some of the files must have correct Japanese names to work, e.g. the executable and matching-named .kgt must be called "ハンターズエッジ体験版". The X.Stage error is because it cannot find the proper stage file. In the demo the 6,180 KB size stage file should be called "森".
I have heard many conflicting stories of what has been done to get around issues that work for some but not for them. I use AppLocale on my Win7 64bit OS, installed with the workaround, and only needed to change non-unicode language to Japanese for unpacking, then changed back to English US and used AppLocale to play the game with no issue. Others report that AppLocale doesn't work for them and that you need to actually change your Current Location in the Region and Language section of Control Panel to Japan for it to work.
Ultimately, the rule of thumb is to change your non-unicode settings before unpacking so that all of the file names are correct. Then it just boils down to regional settings, and we have programs to help there.
It's by Radjulz.
P.S. the password for the rar inside is 105