But, just as reference, I want to note that, on Windows, there is one more way of changing the locale used by the JRE, as documented here: changing the system-wide language.
Note: You must be logged in with an account that has Administrative Privileges.
Click Start > Control Panel.
Windows 7 and Vista: Click Clock, Language and Region > Region and Language.
Windows XP: Double click the Regional and Language Options
icon.
The Regional and Language Options dialog box appears.
Windows 7: Click the Administrative tab.
Windows XP and Vista: Click the Advanced tab.
(If there is no Advanced tab, then you are not logged in with
administrative privileges.)
Under the Language for non-Unicode programs section, select the desired language from the drop down menu.
Click OK.
The system displays a dialog box asking whether to use existing
files or to install from the operating system CD. Ensure that you have
the CD ready.
Follow the guided instructions to install the files.
Restart the computer after the installation is complete.
Certainly on Linux the JRE also uses the system settings to determine which locale to use, but the instructions to set the system-wide language change from distro to distro.