How to change language?

Sorry for this complete newbie question, but I googled it and cannot find this simple information.

I just installed WordPress today.
Right now all text on my WordPress Blog is in English: “Home”, “About”, “Comments”, etc.

How can I change the language?

Update: I am actually not out of the woods yet with this one.
I have:

1. located the fr_FR.mo file and copied it into a new directory ‘/wp-content/languages/’

2. Modified the wp-config.php file to have the following line into it:

define (‘WPLANG’, ‘fr_FR’);

Unfortunately I still get the interface in English.

Any help would be much appreciated.

Ok, I found the problem: I was adding the line:

define (‘WPLANG’, ‘fr_FR’);

when in fact there was already another line of code:

define (‘WPLANG’, );

which was probably overriding my bit of code.

Thank you for your help.