Duncan, nice follow-up to your last question. I'm gratified? relieved? to see so many wrong answers, as I thought everyone else but me knew what Tibor Karaszi pointed out in his blog: SQL Server DATETIME and SMALLDATETIME types are not ANSI-compliant.
As a follow-up to this issue, I was quite surprised to learn that (apparently), unless you have purchased and installed a local version of SQL Server, you cannot change the language settings at the server level, only for individual logins or query sessions. (You apparently can issue the command without error, but it makes no difference.) It may be possible to make a registry change to force the language change; see http://www.sqlteam.com/forums/topic.asp?TOPIC_ID=62891.
I cannot find official confirmation of this behavior at Microsoft, but here's a relevant article excerpt from http://www.sqlservercurry.com/2010/11/change-default-language-for-sql-server.html
If you have not installed the localized version of SQL Server, the default language is US English. If you need to change the default language on this machine, then you will have to change the default language for individual logins, as doing it on a server level won't work.
Thanks again for great questions,
Rich