Multilingual user interface (MUI) setups are really common in todays world. Mostly seen with NSIS setups. If your software is multilingual you don't need to maintain tons of setups (aka - one MSI for every language). Nevertheless the below is officially not supported by Microsoft, it's possible and widly used - also by Microsoft. The most popular software I came across in the last days is Apples Safari 5.x browser. I'm sure if you search more, you will find much more setups.
See Available Language Packs or Locale Identifier Constants and Strings for the available LangID's and cultures.
How are the multilingual user interface MSIs created?