The first thing you have to do is install the game itself.
Next, download the following .zip file to get the english translation patch ;
http://agtp.romhack.net/download.php?id=cavestory
This will give you the file named "cavestory.zip" -- extract this zip archive.
In the archive is the file named "Cave Story Translation Installer.exe"
Start cxsetup (manage bottles), highlight the bottle you have Cave Story
installed into then click on 'Run Command' -> Browse and Open the
"Cave Story Translation Installer.exe" file -> click Run
Follow the onscreen prompts to locate the game install directory (inside
the bottle you installed Cave Story into) and let the patch complete it's
work, then exit the patch installer.
Update from
Nolan :
Now you can play the game in English. However, there is one little bug. When you are given the password to that woman's house (I don't remember her name exactly, it's in Sue's letter), in the original game, you get the Kanji/Romaji for "Doukutsu Monagatari"... backwards. When this game was translated, "Ritaganamo Sukutdou" didn't exactly make sense... and neither does the translation of that... Oh well. This was fixed in the WiiWare version, where the password is now "Yrots Evac", which now makes sense.