For those that are interested. If you also want to change the sound files according to your language and not only the text files:
On the DVD there are folders for each language. French, German, ... Go there to the Sounds folder where you find a VOICE.fsb file. This file contain the sounds. So copy this file to the folder where you have installed Demogod, for example
C:\Program Files\Stardock Games\Demigod\Sounds
To change to the english sound file (if you have not installed this language but your local language) you will find the sound file not in the folders (the one for GreatBritain does not contain it). You will find it in the archive file Demigod.7z that is in the root folder of the DVD. Open it wit 7-Zip or WinRAR or any other archive-program that understand this format. There you will also find the Sound folder with the english VOICE.fsb