Its likely a synthesizer program. Why not check the Wikia? If you are looking for a program that makes music than use google to find your own, There are ALOT.
He uses synthesizers. As players usually have the option to play the music as either MIDI or WAV, I'm pretty sure he makes the MIDI file (many programs do this) and then takes that midi and uses a DXi synth or something on it.
ZUN said in an interview that he uses the program Cubase SX for the Touhou music.