This only means that Windows, or at least your Windows, doesn't 
support UTF-8 locales. Support for those is required for Horde 4, and 
we don't support any systems that lack it.

Old setLang() function in H3 works under Windows. Just check your code in
horde\lib\Horde\nls.php:
=========================
     /**
      * Sets the language.
      *
      * @param string $lang  The language abbreviation.
      */
     function setLang($lang = null)
     {
         Horde::loadConfiguration('nls.php', null, 'horde');

         if (empty($lang) || !NLS::isValid($lang)) {
             $lang = NLS::select();
         }

         $_SESSION['horde_language'] = $lang;

         if (isset($GLOBALS['language'])) {
             if ($GLOBALS['language'] == $lang) {
                 return;
             } else {
                 $GLOBALS['registry']->clearCache();
             }
         }
         $GLOBALS['language'] = $lang;

         /* First try language with the current charset. */
         $lang_charset = $lang . '.' . NLS::getCharset();
         if ($lang_charset != setlocale(LC_ALL, $lang_charset)) {
             /* Next try language with its default charset. */
             global $nls;
             $charset = !empty($nls['charsets'][$lang]) ? 
$nls['charsets'][$lang] : 'ISO-8859-1';
             $lang_charset = $lang . '.' . $charset;
             NLS::_cachedCharset(0, $charset);
             if ($lang_charset != setlocale(LC_ALL, $lang_charset)) {
                 /* At last try language solely. */
                 $lang_charset = $lang;
                 setlocale(LC_ALL, $lang_charset);
             }
         }

         @putenv('LC_ALL=' . $lang_charset);
         @putenv('LANG=' . $lang_charset);
         @putenv('LANGUAGE=' . $lang_charset);
     }
=========================

BTW, if you just commen several lines in H4 implementation it starts 
to work under Windows too:
=========================
public function setLanguage($lang = null)
  {
  ...
//        if (setlocale(LC_ALL, $lang_charset)) {  // <<<--- returns
'false' under Windows
             putenv('LC_ALL=' . $lang_charset);
             putenv('LANG=' . $lang_charset);
             putenv('LANGUAGE=' . $lang_charset);
//        } else {
//            $changed = false;
//        }
  =========================

How? Not by us.

PROBLEM DESCRIPTION

Changing of Language on Horde Login page does not work under Windows.

ROOT CAUSE

PEAR\Horde\registry.php:
=====================
public function setLanguage($lang = null)
{
...
       if (setlocale(LC_ALL, $lang_charset)) {  // <<<--- returns 
'false' under Windows
           putenv('LC_ALL=' . $lang_charset);
           putenv('LANG=' . $lang_charset);
           putenv('LANGUAGE=' . $lang_charset);
       } else {
           $changed = false;
       }
...
=====================

OS-depended setlocale() function is used:
http://www.php.net/manual/en/function.setlocale.php
=====================
Tip

Windows users will find useful information about locale strings at 
Microsoft's MSDN website. Supported language strings can be found at » 
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/vclib/html/_crt_language_strings.asp and supported country/region strings at » 
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/vclib/html/_crt_country_strings.asp.
=====================

ADDITIONAL INFORMATION

There was not such problem in H3. It was workarounded.