There doesn't seem to be any way to specify the language for footnotes:
In the German version, Word2003 always applies "German" as manual formatting, no matter what's defined in the "footnote text" style or its base style.

Strangely, the bug goes away if you watch it: Open the "Reveal formatting" taskpane to see where the language "German" comes from, and new inserted footnotes will get the language defined in the style.

Is this a bug in all versions?

Reference:
From: martg76@yahoo.com
Newsgroups: microsoft.public.de.word
Subject: =?iso-8859-1?q?Sprache_in_Funoten_unter_Office_XP?Date: 23 Apr 2005 13:23:24 -0700
Message-ID: <1114287804.405959.190170@g14g2000cwa.googlegroups.com>

Regards,
Klaus