As a looooser with nothing to do, I wanted to install UTAU, a Windows only program, onto Linux. I'm just going to write simple steps on how to do it.
IMPORTANT!! : everything must be run in the ja_JP.sjis locale. set your terminal and all other future terminals to that locale before doing anything.
You can change the language like this (the menu layout is the same, just follow the layout):
Step 2 (the very bottom, tick the box and change the language)
Note: add aliases to the sound files, as for some reason the Japanese IME does not work correctly.
Sidenote: the locale stuff might not be absolutely required, if you are fine with the mojibake. However there might be some filename errors if you leave it like that, so just to be safe, I added the locale stuff.
 For some reason it is really painful or not even possible to extract ZIP files in other encodings in Linux-native archive extractors. Use an extractor in Wine instead, as that actually changes the encoding.
 When I tried to run it from the applications menu I got a "File Not Found" message.
 The .desktop file the installer generates points to the .lnk file. I imagine it's locale issues, but I think that's why there is a file not found error. Instead, point your script directly to the .exe file.