I'm not sure which file you downloaded - but you don't need to download anything.
You can set the text by setting the various datePicker options.
In your code you can set "loc:options" before any call to one of the jQuery calls. So, in your case, let's say you wanted to set the daynames, and monthNames option;
loc:options = 'dayNames: ["Dimanche", "Lundi", "Mardi", "Mercredi", "Jeudi", "Vendredi", "Samedi"], '|
'monthNamesShort: ['Jan','Feb','Mar','Apr','Maj','Jun','Jul','Aug','Sep','Okt','Nov','Dec']'
and so on.
If you have the "Developing Web Applications with NetTalk" book, which I used during the web-shop, then there's more detail on this in the section "jQuery Widget Options", around page 165.
cheers
Bruce