I was playing with Magento and during the web install on the Localization settings page it would stay on US. I selected UK from the dropdown list but the page would refresh and go back to US. I was using Magento 1.5.x at the time.
The problem was the URL (I don’t get why). I used http://localhost/ but the Magento forum suggests changing this to the IP address for example http://127.0.0.1 and it worked.