Officials sayJapanese Foreign Minister Masahiko Komura issued the protest when he met his Burmese counterpart, Nyan Win, on Friday at UN headquarters in New York.
Japanese officials say Nyan Win said he was sorry for the death, and added that Burma's government hopes to exercise restraint. Burmese authorities originally said the Japanese victim was hit by a stray bullet.
However, pictures broadcast by the Fuji television network show a soldier pointing his rifle and shooting from close range. Video journalist Kenji Nagai was thrown to the ground, apparently shot in the chest.
Later photographs of the scene indicate the 50-year-old man died there a short time later.
Japan's authorities have sent a senior diplomat to Burma to press for a full explanation of Nagai's death.
The pictures seen in Japan also have been posted on the Internet.
They show Burmese soldiers chasing protesters on Thursday near Rangoon's Sule Pagoda. Nagai, who had been filming the scene at the edge of the crowd, is suddenly thrown to the ground from a sidewalk at the sound of a bang. Lying on his back, apparently wounded and unable to get up, the journalist moves his arms up and down, still gripping a video camera in his hand, while a soldier points a rifle at him at point-blank range.
Nagai worked for the Japanese photo and video agency APF.