Sorry - my apologies. In Vista and 7 the 4th tab is Administrative, and the Language for non-Unicode programs control has moved there.
In XP, it is in the Advanced tab where you made your changes.
To completely set up Thai support (except for the OS language), the things you do are:
1) 2nd tab, Languages, Text Services and Input Languages -> Details lets you add keyboard support. You can buy Thai language key cap stickers off eBay for less than $5.
2) 2nd tab, Languages, Supplemental Language Support installs fonts for Thai.
3) 3rd tab, Advanced -> Languages for non-Unicode Programs
#3 is the kicker. Native Thai software will display garbage if not run with #3 set to Thai. But you have to turn this off if you want to install an international program in English. Nero is an example of this. It will install in Thai unless you set #3 back to English. I think (but am not sure) that proper Unicode programs will install in the language you select in Setup regardless of how #3 is set.