I say hell because back when I installed it on my old computer I used the AppLocale Method and had to go through AppLocale every time, but it's actually simpler than you may think.
You have two choices, basically: >AppLocale Method (Complicated but seemingly popular)>Computer Locale Change Method (Recommended unless you REALLY need to keep your locale the same)
AppLocale Method:>Install AppLocale>Open Japanese RPG Maker 2000 RTP in AppLocale>Open Yume 2kki Installer in AppLocale>Open Yume 2kki in AppLocale
Computer Locale Method:>Change computer locale to Japanese>Install Japanese RPG Maker 2000 RTP>Install Yume 2kki>Play game
Once you have the RTP installed, you can skip that step for installing any other Japanese RPGM2000 games.http://yume2kki.wikia.com/wiki/Installation_Instructions
This page has the downloads for the mentioned programs.