You have to select the Japanese IME from the language bar.
To enter Japanese characters using a standard U.S. keyboard on a localized Japanese version of Windows NT, you must use an Input Method Editor (IME).
IME provides several different methods of entering Hiragana, Hurigana, Katakana, Kanji, and Romaji characters using Microsoft IME, WX2, VJ2, and ATOK7. The Microsoft IME input method is used by default. To change the default input method, run Microsoft IME from the Program Manager "Nihon go jin ka" group.
To invoke IME, you must use the key combination ALT+~ or ALT+` to launch 4 applications (located in the lower right hand corner on your desktop). These applications provide several Japanese characters you can enter into your document. To disable IME, you must use the same key combination of ALT+ ~ or ALT+ ` again
There's an old but informative article that describes some of the input methods.
I'm not actually familiar with Japanese IMEs but they may be similar to Chionese ones which fall into several types
romanised pronunciuation. There's an official way of spelling the Japanese pronunciation using Latin letters. you type the latin letters, the IME inserts Japanese characters that sound like that (usually you get offered a list of characters and pick one)
shape-based. You know the order and direction of the strokes that make up a character. You press a key that corresponds to a group of initial stroke shapes (e.g. vrtical line or left downward slanting line, box or cross) you repeat for subsequent strokes (or for first two and last two or some other such system)
you draw a character with a mouse
you use a key that indicates a radical (a common element found in many characters) There is usually no obvious correspondence between the latin letter and the radical, you have to learn them.