Hi, I'm also clueless. I got through to clicking BGIforInstalling, but nothing happens when I do. Is it related to the .rar files being downloaded in 7 separate parts?
EDIT: I got it! Setting your computer's region to Japanese is not enough. You need an extra tool like AppLocale to convince the installer you are in Japan. Opening the installer through AppLocale allowed it to work.
Edit 2: After that, I was told I needed to insert the game disc:
I realised I needed to keep the Daemon stuff mounted, as that is the virtual game disc.