Ну если тебе нужно именно событие, то делай RaiseEvent когда меняешь язык

если выбрал русский язык, то на компонентах пишется на русском языке, если английсский - то на английском..

Attribute VB_Name = "modLanguage"
'//////////////////////////////////////////////////////////////////////////////
' modLanguage - module for loading *.LNG files.
' Version history
' • 1.00 for GC4 20.10.2006
' + StrOption    28.10.2006 SCHOOL AUTUMN HOLIDAYS STARTED!!!
' © Polkovnikov Philip, 2006
'//////////////////////////////////////////////////////////////////////////////
Option Explicit

Public Languages As Collection
Public CurrLang As Language
Public LangPath As String

Public Const LangExt As String = ".lng"
Private Const BS As String = "\"
Private Const LngFldr As String = "Languages\"

Public Function StrOption(ID As String, ParamArray Opts() As Variant) As String
    Const S_OPTION As String = "%"
    Dim i As Long
    Dim txt As Variant

    txt = CurrLang.Strings(ID)
    For i = 0 To UBound(Opts)
        txt = Replace(txt, S_OPTION, Opts(i), 1, 1)
    Next
    StrOption = txt
End Function

Public Function LoadLanguages()
    Dim sPath As String
    Dim NewItem As Language
    Dim TmpArr As Variant
    
    LangPath = App.Path
    If Right(LangPath, 1) <> BS Then LangPath = LangPath & BS
    LangPath = LangPath & LngFldr
    
    Set Languages = New Collection
    
    sPath = Dir(LangPath & "*.lng", vbNormal)
    If sPath <> "." And sPath <> ".." And sPath <> vbNullString Then
        Set NewItem = New Language
        TmpArr = Split(sPath, ".", 2)
        If LCase(TmpArr(1)) <> "lng" Then
            Set NewItem = Nothing
        Else
            NewItem.Key = LCase(TmpArr(0))
            Languages.Add NewItem, NewItem.Key
        End If
    End If
    
    Do Until sPath = vbNullString
        sPath = Dir()
        If sPath <> "." And sPath <> ".." And sPath <> vbNullString Then
            Set NewItem = New Language
            TmpArr = Split(sPath, ".", 2)
            If LCase(TmpArr(1)) <> "lng" Then
                Set NewItem = Nothing
            Else
                NewItem.Key = LCase(TmpArr(0))
                Languages.Add NewItem, NewItem.Key
            End If
        End If
    Loop
    
    If Languages.Count = 0 Then
        RaiseError ERR_NOLNG
    Else
        For Each NewItem In Languages
            If NewItem.Key = LastLang Then
                If LoadLanguageFile(NewItem) = ERR_SUCCESS Then
                    Set CurrLang = NewItem
                    GoTo FinishLang
                Else
                    NewItem.Corrupted = True
                End If
            End If
        Next
        For Each NewItem In Languages
            If LoadLanguageFile(NewItem) = ERR_SUCCESS Then
                Set CurrLang = NewItem
                GoTo FinishLang
            End If
        Next
        
        RaiseError ERR_ALLCORR
    End If
FinishLang:
    
    LoadLanguageStrings
End Function

Public Function LoadLanguageFile(Lng As Language)
    Dim c            As Long
    Dim TmpStr       As String
    Dim TmpArr       As Variant
    Dim SectionFound As Boolean
    Dim Descr        As Long
    
    LoadLanguageFile = ERR_SUCCESS
    
    Set Lng.Strings = Nothing
    Set Lng.Strings = New Collection
    
    escr = FreeFile
    Open LangPath & Lng.Key & LangExt For Input As #Descr
        
        Do Until EOF(Descr)
            Line Input #Descr, TmpStr
            TmpStr = Trim(TmpStr)
            If TmpStr <> vbNullString Then
                TmpStr = Trim(Split(TmpStr, ";", 2)(0))
                If TmpStr <> vbNullString Then
                    If SectionFound Then
                        If Left(TmpStr, 1) = "[" Then Exit Do
                        TmpArr = Split(TmpStr, "="
                        TmpArr(0) = RTrim(TmpArr(0))
                        TmpArr(1) = LTrim(TmpArr(1))
                        Lng.Strings.Add mID(TmpArr(1), 2, Len(TmpArr(1)) - 2), TmpArr(0)
                    Else
                        If TmpStr = "[" & CStr(App.Major) & CStr(App.Minor) & "]" Then SectionFound = True
                    End If
                End If
            End If
        Loop
    Close #Descr
Exit Function
corr:
    Set Lng.Strings = Nothing
    Lng.Corrupted = True
    LoadLanguageFile = ERR_SUCCESS + 1
End Function

Public Sub LoadLanguageStrings()
    On Error Resume Next
    Dim Frm As Form
    Dim Ctl As Control
    For Each Frm In Forms
        Frm.Caption = CurrLang.Strings(Frm.Tag)
        For Each Ctl In Frm.Controls
            LoadLangString Ctl
        Next
    Next
End Sub

Private Sub LoadLangString(Ctl As Control)
    On Error Resume Next
    Dim TMP As String
    Dim TMPMas As Variant
    Select Case TypeName(Ctl)
        Case "Menu"
            If Ctl.HelpContextID > 0 Then Ctl.Caption = CurrLang.Strings(CStr(Ctl.HelpContextID))
        Case Else
            TMPMas = Split(Ctl.Tag, " ", 2)
            TMP = vbNullString
            TMP = CurrLang.Strings(TMPMas(0))
            If TMP <> vbNullString Then Ctl.Caption = TMP
            TMP = vbNullString
            TMP = CurrLang.Strings(TMPMas(1))
            If TMP <> vbNullString Then Ctl.ToolTipText = TMP
    End Select
End Sub

перехват событий нажатия shift+alt?

Thread.CurrentThread.CurrentUICulture = New CultureInfo("fr-FR"

Именно сразу после изменения локали поменяются или нужно как-то принудительно это вызывать?

Фишка в том, что эту строчку необходимо вставлять в конструкторе ДО InitializeComponent()

И для всех контролов поменяются надписи (разумеется если есть перевод в нужном ресурсе)

Фишка в том, что эту строчку необходимо вставлять в конструкторе ДО InitializeComponent()

Вот если б контролы сами подхватывали свои свойства при изменении локали...