I've tried some more tests, just to rule out IPB.
I've uploaded a sample php file with the following in:
<?php
setlocale(LC_TIME, "C");
echo strftime("%A");
setlocale(LC_TIME, "fi_FI");
echo strftime(" in Finnish is %A,");
setlocale(LC_TIME, "fr_FR");
echo strftime(" in French %A...