Because right now it's in Bulgarian.
Yeah I got a trojan :S.
Another way is to hack the registry and reboot, which is much more convenient. Of course caveats apply: it might not work for your OS/MSE version. (I'm running Japanese Vista Ultimate, BTW.)
Changing "HKLM\SOFTWARE\Microsoft\Microsoft Security Client\Market" from JA-jp to EN-nz worked fine after a reboot.
You must to uninstall/reinstall Security Essentials to switch languages.
The English version can be downloaded from the official website or Microsoft Download Center.