Your choice of preferred language will affect the language of the documentation, the installer and the system in general. Select first the region you are located in, and then the language you speak.
Clicking on the button will allow you to select other languages to be installed on your workstation, thereby installing the language-specific files for system documentation and applications. For example, if you will host users from Spain on your machine, select English as the default language in the tree view and Español in the Advanced section.
About UTF-8 (unicode) support: Unicode is a new character encoding meant to cover all existing languages. Though full support for it in GNU/Linux is still under development. For that reason, Mandrake Linux will be using it or not depending on the user choices:
If you choose a languages with a strong legacy encoding (latin1 languages, Russian, Japanese, Chinese, Korean, Thaï, Greek, Turkish, most iso-8859-2 languages), the legacy encoding will be used by default;
If two or more languages are required, and those languages are not using the same encoding, then unicode will be used for the whole system;
Finally, unicode can also be forced for the system at user request by selecting option Use Unicode by default independently of which language(s) have been chosen.
Note that you're not limited to choosing a single additional language. You may choose several ones, or even install them all by selecting the All languages box. Selecting support for a language means translations, fonts, spell checkers, etc. for that language will also be installed.