You download a virtual machine software and run it through that.
Im usually using VMware Workstation Player with VMware Tools (for being able to move files btw virtual machine and your own computers desktop)
So you install that, then you go to your search engine and look for windows xp sp3 iso jp on archive "dot" org (make sure its japanese iso and you wanna make sure theres a serial code in the thread on archive "dot" org so you can activate the windows xp installation) and download that iso.
Then you create inside VMware a virtual machine with the windows xp iso, after installation and starting of the iso in the virtual machine make sure to get VMware tools working so you can move files inside and then you can just drag and drop the eroge game file inside. Install the game there and it should usually play. It might sound like a lot of work but its actually not.