The fast and easy way to change the default language in WordPress is to edit the wo-config.php file.

First edit the line where is says:

define ('WPLANG', '');

enter the desired language code like this:

define ('WPLANG', 'fi');

Then login to Your WordPress admin and click on the Updates link on the Dashboard navigation panel. And if a version of WP exists for the desired language You will get a message that You can update automatically or download the localised version and update manually.

No need for downloading localisation files and manually installing in appropriate folders on the server.

Works on WP version 3.0.1 (haven’t tried it on older versions ).