The Japanese say Merry Christmas as, "Merii Kurisumasu" using an approximation of the English words. Here are some articles related to Christmas on my site. Please check them out to learn how the Japanese celebrate Christmas.
* How to say Merry Christmas in Japanese
* Let's Sing the Rudolph Song in Japanese
* Awatenbou no Santakuroosu - A Japanese Christmas Song
* "Christmas Eve" by Tatsuro Yamashita
* The Lyrics for "Christmas Eve" by Tatsuro Yamashita
* KFC for Christmas - A Japanese Tradition
* The Nutcracker - Kurumiwari Ningyou