If you live outside Japan and only want to buy new CDs, CDJapan or HMV will work as long as they have what you want. Be aware that some groups do not sell on these large platforms. Amazon Japan will also deliver to some foreign countries, you will have to check to see if yours is covered.
To buy from Yahoo Auctions, smaller shops such as Village Vangaurd or a groups own webstore, you will have to use a proxy service such as ZenMarket, which is my favorite. They have even created an easy to follow tutorial on how to use their service (Auction tutorial starts at about the 6:20 mark).