To set the language for your course, go here:

...making sure to replace YOUR_COURSE with your course's unique web address.

You can also find the "Language" page on your course's "Overview" page, under "Settings":

The Language page will look something like this:

Select your language by clicking on the dropdown menu:

Some languages also have a specific locale you can choose:

After you have selected your language and your locale, click "Update Course":

OK, that's it!