Is there no simple menu item for changing language when highlighting a word as there is in MSWord?
I don't think so.
You should be able to switch dictionaries by doing Apple/Command + :
OS X lets you set up multilingual spell check via system prefs/language & text/text/spelling/setup, but whether it will do what you need you can only tell by trying it.
You can ask Apple to make Mail more like MS Word here: