itch.io

This can be done by adding Reimu to the chars folder, then adjusting the select.def. This works analogously to how it is done in Mugen, here is a good tutorial on that: https://mugenarchive.com/forums/showthread.php?210-Tutorial-How-to-Add-Characters-to-your-Mugen-roster

For reference, the Reimu character can be downloaded here, it's a very good character: https://ricepigeon.neocities.org/chara.html
 
In general, if it is only about playing as Reimu, I would probably recommend Mugen over Dolmexica. Dolmexica is just a Mugen interpreter for Dreamcast/Web basically, so if it is about Windows, Mugen is still the most accurate and will usually work the best.