That option works when you create a NEW database. HOWEVER, the help says that
if you change the option and then COMPACT the database the new sort order
should be active.
From Access 2003 Help:
Specify the default language sort order (MDB)
Note The information in this topic applies only to a Microsoft Access
database (.mdb).
On the Tools menu, click Options.
Click the General tab.
To specify the default language sort order for a new database, click the
language that you want to use in the New database sort order box.
Note To reset the sort order for an existing database to the language that
you selected in the General tab, compact that database.
John Spencer
Access MVP 2002-2005, 2007-2009
The Hilltop Institute
University of Maryland Baltimore County