I live in Estonia where most regional settings (number, currency and date formats) differ from those used in English-speaking countries. For instance, decimal symbol is comma, thousands separator is space, date format is day-month-year, etc. However, if I set my regional settings to Estonian, then day and month names are also shown in Estonian everywhere:

This is slightly annoying since the language used for the rest of Windows is English and I'd like the day and month names to be consistent with it. Is this possible while still keeping the local regional settings?

One workaround I've tried is to set regional settings to, say, English (UK) and then customise them to match Estonian settings, but that messes up alphabetic sorting - accented letters like "ö" and "ä" are no longer distinguished from their non-accented versions, and "z" is sorted as last rather than at its correct position in the Estonian alphabet (between "s" and "t").

OS is Windows 7 Professional, in case that matters.

Edit: alternatively, if there's no built-in way to accomplish what I want, is it possible to create a custom set of regional settings (like one can create custom keyboard layouts)?