Language is a character-level attribute and is not related, at least not directly, to the choice of dictionary in the prefs. The dictionary choice simply tells ID which of the installed dictionaries it should use for checking spelling and hyphenation when it encounters that particular language, but does nothing to set a language anywhere.
Clearly your default language is set to Hebrew. To fix that you need to change the language with nothing selected. If you do this in an existing file, it will affect all new text in that file, but not existing text or other files. If you change the default language with no files open it will be set for all new files, but will not affect anything already existing. To change the language, just pick the correct one from the dropdown in the Character panel or Control panel.
To fix existing text it's probably easiest to use Find/Change and search for the incorrect language in the find formatting and change to the correct language in the change formatting. You'll find the language dropdowns under Advanced Character Formatting in those dialogs. You can use either a GREP or plain text query, and you can leave the find and change fields themselves blank as long as you've included something in both of the formatting areas.
Thank you for your reply, this has fixed the problem. I can now create new documents knowing there are no spelling errors!