It seems you’re using Windows. The locale strings are different there. Take a more precise look at the doc:
locale.setlocale(locale.LC_ALL, 'de_DE') # use German locale; name might vary with platform
On Windows, I think it would be something like:
locale.setlocale(locale.LC_ALL, 'deu_deu')
MSDN has a list of language strings and of country/region strings