To make a shortcut for Yume Graffiti, open up AppLocale if you already have it. 
If not, download it here: http://www.microsoft.com/download/en/details.aspx?id=13209
Once you have it downloaded, or if you already have it, open the program and choose;
Next > Launch an application > Browse
Find "RPG_RT" inside the Game Files folder of Yume Graffiti and open it with AppLocale.
Set the language of the application to Japanese. It's on the very bottom of the list.
Now, check the box that reads "Create a shortcut to always run this application with AppLocale."
The link description below will read: "RPG_RT" I recommend renaming it "Yume Graffiti (AppLocale)".
Now click "Finish" and the game will run.
Quit the game for now and click the Start menu of your computer. 
Search your programs for what you renamed the RPG_RT program and copy it to the Yume Graffiti folder.
From the Yume Graffiti folder, right click the shortcut you just copied and find the "Shortcut" tab.
If you'd like, click the "Change Icon" button and browse through your files to the Yume Graffiti folder, where an icon for the game is located.
Click the icon and then "OK", then click "Apply" in the shortcut's properties menu.
You now have a fully working (and fancy) shortcut for Yume Graffiti!