Solved! It took me a week to get it right!
Will make a short tutorial here soon.
For now just this short description:
HDI is the image of HardDrive, but for you to run the game (which in this case is made for DOS) you must boot DOS Operating System first and then run the game from your HDD image though DOS...
(don't forget to put a copy of your HDI file in emulator since the emulator will make changes to HDI file, so backup the original somewhere)
システムディスクをセットしてください message probably referred to lack of installed OS! If you see it again after following procedure below you know your doing something wrong...
* So, first get
MS-DOS 6.2 floppy system disk image here and then mount it (FDI file) to the emulators ("Neko" works just fine) first floppy drive (FDD1).
* And now mount your game HDI file in emulators HDD and reset the emulator.
* After reset you should see colorful DOS interface, now press Q to exit, and now you should see familiar "A:>" DOS insignia on black screen.
* Type "C:" to enter HDD, and type "dir" to see contents, "cd <folder name>" to enter specific folder, in folder type "dir /p" to show a list of files in folder with pause when list is full (that's why "/p" is here to pause the listing until key is pressed, otherwise it would list all the files and show you just the end of the list without possibility of going up the list to see other list items).
* Type name of .exe file or .bat which you think is your game executable while in that directory and your game should start when you hit the right one. (in example of my game, the file is SIKI2.BAT so I just type "siki2" while in directory to start the game)
Hope this helps someone and saves some time.