Hey,
I imagine it's a message that there isn't enough save-game space so you're going to have to clear up some space. I'll try to walk you through it without using any japanese.
Turn on the PC-FX with no disc inserted.
Move the hand on the PC-FX menu to the bottom left option (looks like a photocopier with a brick-red and green notebook in front of it). When it's highlighted, elect it by pressing button I.
You should now be on the "PC-FX File Maintenance" page. In the center of the screen, in a grey window there should be a listing of games with the amount of RAM they occupy such as:
FARLAND_STORY_FX 5632
Some of the games will be listed in English and some in Japanese. Move the hand over any save-game you wish to delete. Note you can scroll through this window using the triangle buttons to the right of the window.
When the hand is over a savegame, the game should be highlighted (inverse colors).
Press button I to select the save-game. It should now turn highlighted yellow.
You can continue selecting save-games that will all turn yellow.
When you want to delete them, select the 5th button from the left that's below the save-game list by pressing button I on the joypad. The first button looks like an open book, the second button looks like a closed book, the third button is 3 characters (first character looks like a backwards C and third character looks like a dash - ), fourth button is 2 characters (second character has a portion on the right that looks like a lowercase h), and finally the fifth button is the one you want. Just to make sure, the fifth button's 2nd character has a portion at left that looks like a B.
Once you select this an information window will popup which will then change into a question window asking you to confirm that you would like to delete that specific save-game. The save-game name will be listed and your options are at the bottom. They read 'hai' (yes I want to delete it) on the left and 'iie' (no I don't want to delete it). Select the appropriate response by pressing button I over it. The choices should disappear and the window sits for a second as it deletes the save-game file. The window should then disappear and you'll be back at the save-game list. You can scroll through and make sure that you deleted all the save-games that you wanted to (make sure it worked).
When done, press the 7th button at bottom right (its English - reads "EXIT").
It will now ask if you really want to leave the file maintenance page. The choices are the same as when it asks if you really want to delete the file. Select the button on the left.
You should now be back at the PC-FX Main Menu. You can insert your game now. If you deleted enough save-games to free up the required space for Zeroigar, it should now run for you.
Hope that helps.
Feel free to use this however you'd like as long as I get credited with taking the time to type it up
-RUiNa