Best Answer - Chosen by Voters
It shouldn't matter. The only thing that I would check for if I were you would be to make sure that it's available in the language that you want.
If you have, say, a copy of Windows purchased in the United States, it probably came in English. If you buy the game in Russia though, it will probably be in Russian, so you would want to make sure that the Russian version either has an English option or that you have support for Cyrillic enabled for non-Unicode programs in your operating system.
If you bought a game in some language that uses the Roman alphabet though, it shouldn't matter at all.
If it's an online game though, there's a possibility you'll be banned from non-European servers.