If I'm in a directory that contains a file called "日本語.txt", dir will show the filename as "???.txt". I tried changing the command prompt font to Lucida Console, but then the name just shows up as a bunch of boxes. I know Lucida Console has Japanese characters, so why doesn't it work?
That's a problem related to the CODE-PAGE used (think about it as a linux LOCALE). You set those up with the chcp command
Try by setting one of the CPs commented here: http://en.wikipedia.org/wiki/Code_page
By the other side, if you use the Lucida Font in console, you can allways copy the garbled output and paste it in a word processor. The characters will be readable there.