Okay, I searched really long and hard for that link, but:
http://www.bhashaindia.com/Developers/IndianLang/IndicScript/oslevel.htm?lang=en
As you will note, this is for Hindi. Just take a look at the third step and add Japanese instead of Hindi, at least that's what I did and it worked really well.
This one tells the same:
http://www.greggman.com/japan/xp-ime/xp-ime.htm
Just with more pictures and I can't really tell you where "step 3" starts here, all I can tell you is that you need to get to the "add" window.
I am rather sure you'll manage. ^^
And it works without CD. ^^
If you can't get it working, there is the way to get a demo version of this:
http://www.njstar.com/
(The programm and the input is rather good but just to expensive for my taste)
And I am not really sure what Windows Mobile is, but maybe you can get this one running:
http://www.ookii.org/software/japaneseinput/
it should be helpful for now too...
And, if there are problems installing the IME/ if the site just doesn't make any sense: there are tons of other sites doing the same. Just google it up and get one that apeals more to you.
If there are problems it's likely that there are helpful sites too...