The drop-down box contains all the National Language Support DLLs that &xwp; could find in its own directory. All these DLLs are named "XFLDRxxx.DLL", with "xxx" being a three-digit country code. For example, English is "001". See the OS/2 Command Reference for a list of country codes.
Changing this setting will take effect immediately in respect to context menus and message boxes.
In any case, a reboot is NOT required.