When you boot the Saturn without media (ie, without a game/music/cd) [and assuming you've got a fresh memory CR2032 lithium battery] you should be taken to the familar browser UI. With Japanese Saturns, the menu is a bit different but the navigation isn't too hard to cope with. Simply select the middle icon in the top row. This takes you to the Memory Manager. In there, should be two options at the very bottom of the screen. Select the one to the right. This is the System Settings. In there select the 2nd option from the top, that's Language settings. The rest is up to you.

Also, regarding the PAR+, in order to 'use' it, you'll need to insert it into the expansion slot on the Saturn. It's functions range from cheat device, backup memory, ram expansion and region bypass. If you've inserted it properly (and hoping the expansion slot on your Saturn isn't bent) you should be taken to the PAR+ GUI. This will not happen if you have the disc lid open. Again, from there you can run games, manage the cartridge/system memory files, and add cheats. Since you have a Japanese 'Skeleton' Saturn you'll need to use the PAR+ with NTSC-U/C / PAL region games. Otherwise, you can use it with many of the expansion requiring NTSC-J games (mostly Capcom fighters).