In order to effectively use Japanese Input and Pocket Dictionary, you need a Japanese font on your device. Although Japanese Input includes a bitmap font that it can use for fallback purposes, the kana panel will not work using the bitmap font, and more importantly you won't be able to actually type characters into applications if those applications don't have a font to display the characters with. Pocket Dictionary also requires a Japanese font to display results.
It is recommended that you install a Japanese font on your device before you install Japanese Input or Pocket Dictionary. That way, they will automatically configure themselves to use that font when you first start them. Otherwise, you will need to go into the settings for both Japanese Input and Pocket Dictionary to select the font.
Since most fonts are protected by copyright I cannot provide one for you. Fortunately getting one isn't hard. Since you own a Windows Mobile device, chances are you also own a PC with Windows 2000 or newer. If so, you already have several Japanese fonts.
Windows comes with a number of Japanese fonts. If you have Windows Vista or newer, I recommend you use the Meiryo font. This is a fantastic font that is extremely legible even at small sizes, especially with ClearType enabled. Unlike the older Japanese fonts, Meiryo was designed with ClearType in mind and it just blows the older fonts such as MS Gothic and MS Mincho out of the water. All screenshots of Pocket Dictionary and Japanese Input on this site use Meiryo. If at all possible, I recommend you use Meiryo.
If you cannot get Meiryo, you can use any of the older Japanese fonts that come with Windows. I would suggest MS Gothic, as that's also the font used on Japanese-language Windows Mobile devices. Still, it's nowhere near as good as Meiryo (is it clear yet that I love Meiryo?).
On Windows 2000 and XP, you will need to make sure that "Install files for East Asian languages" is checked in the "Regional and Language Options" control panel, as shown here. In Windows Vista Japanese fonts are installed by default so this is not necessary.
To install the Japanese font of your choice on your device, first connect your device to your PC using ActiveSync (in XP and earlier) or Windows Mobile Device Center (Vista).
Use Windows Explorer on your PC to browse to the \Windows\Fonts folder on your device (this folder might have a different name in localized versions of Windows Mobile).
Open a second Windows Explorer window, and browse to the Fonts folder of your PC's Windows installation (typically C:\Windows\Fonts; an easy way to get to this folder is by typing "%WinDir%\Fonts" (without the quotes) in explorer's address bar). Now select the font object you want to copy. For Meiryo you want "Meiryo & Meiryo Italic (TrueType)". For MS Gothic you want "MS Gothic & MS PGothic & MS UI Gothic (TrueType)".
Now drag that item to the window where \Windows\Fonts on your device is open. You have to drag, copy/paste will not work.
Since the Japanese font files are big, and removing them from your device can be difficult, do not carelessly copy unneeded fonts to your device.
For best results, enable ClearType on your device. This can be done by going to Start, Settings, the System tab, Screen, the ClearType tab, and checking the "Enable ClearType" option.
If you install the Japanese font before you first run Pocket Dictionary or Japanese Input, they will automatically pick up the font and use it. If you want to manually change font settings, use the options dialog. For Japanese Input this can be reached through Settings, Input or by tapping the "options" button on the input panel. For Pocket Dictionary you can use the Menu, Options menu item. In Pocket Dictionary you can also configure the font size.
How you configure other applications depends on the application. In Word Mobile (Windows Mobile 5 and later) you use Menu, Format, Font. In Excel Mobile you must use Menu, Format, Cells, and then go to the Font tab. It may not be possible to configure the font in all applications.
Japanese font files are big. This isn't strange since they must be able to display far more characters than your average western font, but it can be inconvenient if you don't have a lot of device memory. The file for Meiryo is 7.45MB, while the file for the MS Gothic fonts is 7.88MB. And unfortunately these files must be installed in device memory; they cannot be placed on a storage card. If you want to install additional variants (such as the "Meiryo Bold & Meiryo Bold Italic (TrueType)" file) you need even more space.
Japanese fonts won't work in every application. For instance it is not possible to configure the font used by the Outlook Mobile applications such as Calender and Contacts. This means you won't be able to use Japanese text in those applications. If you have a real Japanese device, it uses font linking to get around these limitations, but this will not be the case if you install a font using the method outlined above.