The display language of Windows XP cannot be changed. The language is determined at installation time. Retail versions of XP typically have only one language. OEM installation CDs may offer a choice of languages at installation time. Once installation is complete, the language cannot be changed without reinstalling.
Windows Vista and Windows 7 allow a change in display language without reinstallation, if you have the desired language files already installed (some languages are installed by default, others must be installed explicitly).
It's always cleanest to install in the language you intend to use. There are zillions of small language-dependent features and files in the OS and in applications that may end up mixed up if you change languages after installation (in cases where this is possible).