I don't know about AIX, but setting the locale in Solaris works much like linux.
And what do you mean by "when i set LANG=ja_JP.UTF-8,by default the LC_MESSAGES and LC_CTYPE values set to ja_JP.UTF-8. This is not happend"
Running
should show you the available locales for your system and you should select the one that matches your needs. Mind that some of these locales are maybe partially installed, so you will not have the functionality you want.
More details about solaris locales you find
here. There is also a utility named
localeadm that can be used to manage locales.