Officially you cannot do this with Windows Mail, but there is a way of achieving it.
Hit WindowsKey+E to open Explorer - then navigate to C\Program Files\Windows Live\Mail\Proof\prf0009\click on 2\ in right-hand pane double click Spell which opens Notepad. Change value of Lang= from 1033 to 2054. Close Notepad and confirm change - close Explorer. That's it.
The Dictionary listing in Windows Mail will still say US English, but it will now be spellchecking in UK English.