Registry Edit
You may only want to do this if you actually know what you're doing in the registry. First, open the registry editor (start -> run -> "regedit". Open the folder HKEY_LOCAL_MACHINE, Inside that folder open the SOFTWARE folder. Scroll down, if you only have the US version of FFXI installed you should be able to find a folder called PlayOnlineUS.
Now comes the editing part. Go back up to the SOFTWARE folder and right click on it and choose to add a new key, this should add a new folder to the list, call it PlayOnline. Right-click on the PlayOnline folder you just created and choose to add a new key, call this one InstallFolder. Now the right hand should be pretty blank with only a (Default) key in there. Right click in the blank space and choose to add a new String Value, name this 0001. Double click on this new entry and put where you have FFXI installed such as: C:\Program Files\PlayOnline\SquareEnix\FINAL FANTASY XI inside the textbox. If you're not entirely sure of the value to enter here, go to the InstallFolder folder in the PlayOnlineUS folder and copy the contents of the 0001 entry.
When you get done it should look similar to this:
http://phabin.noncouncil.com/ffxi/Misc/jpreg.jpg