This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
It does not work because the Windows XP console window does not normally support those characters - it doesn't have anything to do with the Java program itself. You would probably need a Japanese version of Windows to make the command prompt show these characters. Or use something else than the command prompt window to show the output of your program.
It's just not something that most consoles and terminals were built for. There may be more advanced consoles that can display all Unicode characters -provided all required fonts are present-, but I'm fairly certain that the DOS console can't.
Furthermore, System.out.println will convert anything using the platform default encoding, which on Windows generally is CP-1252 or something like that - which doesn't support CJK characters.
subject: Java String does not recognize Japanese Characters