From the description of your problem I am not sure if your problem is with your Windows operating system or with Word.
Is this an issue with the default language Word sets for new documents and then uses for spell checking?
You say that you have gone through Tools-Language-Set Language
which is the Word language setup.
Once you select a language and click on default, and answer 'Yes' to the question that comes up, all your new documents should be marked as, and spell checked as that language.
Existing documents will not be changed by this - they keep their original language setting and each one will have to be opened and changed.
Can you describe exactly where you have the wrong language. Is it in new Word documents, existing word documents or is it not in Word at all?