There is no simple way to change it from the settings GUI, but you can change the default Windows font for all system dialogs in the registry.
- Open
regedit.exe as an administrator
- Go to
HKLM\Software\Microsoft\Windows NT\CurrentVersion\FontSubstitutes
- Change the
REG_SZ values MS Shell Dlg and MS Shell Dlg 2 to the name of the font you want Windows to use as the default. Note that this will affect all default Windows system dialogs, not just the one you're asking about. There is no way to change it for just that dialog.
- Restart your computer or log off and back on to see the changes take effect.
I just verified this on my computer, and it does change the setting for the dialog you asked about. It also changes the settings for many other dialogs as well though, so make sure you use a font that will work with English as well.