EoSD has Kanji in the filenames for it's DAT files. A locale specific function is used to find these files and load their contents. When running EoSD with a non-Japanese locale, what EosD will look for is Mojibake, not the actual names of the DATs. Installing EoSD from a CD will not work because of that with a non-Japanese locale.
The solution is to use Locale Emulator.
Install it by running LEInstall.exe. It doesn't matter if you install for ne user or for all users. After installing, every time you right click an exe, there will be additional menu entries for running the executable in Japanese. Every EoSD executable needs to be ran in Japanese.
Windows 10 isn't nessesairly known for it's amazing compatibillity and while EoSD in fullscreen mode will run, you will get infinite FPS. In order to fix this issue, download the DirextX8 to DirectX9 converter. Install it by extracting the contents of the ZIP inst the EoSD installation folder.
You may get a DLL error after doing this, in that case, install DirectX9
Input delay is not an issue on very old Windows. In fact you can even play EoSD on Windows 95. Modern OSses have this issue though but there is a fix.
Vpatch is a patch that removes the (poor) Vsync implementation that ZUN put in his game. In order to install Vpatch, download it from here. In order to install it, extract vpatch.exe, vpatch.ini and vpatch_th06.dll into your EoSD folder. You can also use the unicode DLL which you rename to vpatch_th06.dll and put in your EoSD folder. This should fix your input lag.