I dunno if you have seen this tools link, it lists every tool available ( i think )
http://shenmuesubs.sourceforge.net/download/ ADX Tools should be the one you need, however I havent moved onto audio ripping for Shenmue2 and its a bit sketchy for Shenmue1

Here's what you need:
http://projects.sappharad.com/tools/ahx2wav_v014mod.zip

For encoding AHX, everyone just uses the official CRI tool ahxencd.exe. (If the resulting file doesn't work, I wrote a tool once called ahx2ahx that will convert the output from ahxencd into the same format that Shenmue 2 uses. It's never been publicly released, so I assume it's not necessary or that someone else wrote their own tool to do the same thing. I can try to dig it up if it's necessary.)

In fact I made some more researches and people were facing the same problem. http://forums.x-cult.org/topic/3086-ahx2wav-0-14-mod/page__st__20
Oh yeah, I forgot that I originally made the changes for Sonic Heroes to work rather than Shenmue 2. Anyway, how about this build, does it work for you?
http://projects.sappharad.com/tools/ahx2wav_v014alt.zip

Exact same version, but rebuilt using Windows 7. If this one doesn't work for you, then it's something with your machine and I don't know how to help you.