Actually you can, but you have to purchase a third party application.
As for actually changing the ROM to French, I'll tell you now that is not possible.
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Yes you can change os from English to French.
You will need to flash your AXIM using the required language version.
You can achieve this through the use of a compact flash card.
I did the the other way FR to US on my Dell Axim X5 and it works fine