If you downloaded Spybot-S&D from the Internet, it will come with a lot of languages already included, but not the help files (to reduce the download size). You should use the update function to download additional files for your language after you have selected it.

If your language is not yet shown, you can go to the Settings page and enable the option to download foreign language updates. In that case, your next update will show you the updates for all available languages, even those not yet installed on your machine.

You can find the language settings by choosing Languages from the Settings section in the toolbar to the left.