First, you need to download and install the language pack to set a new language on your store. In order to do this, you have to find a language pack you need. Enter e.g. "Magento 2 French locale GitHub" at Google, open the GitHub page, follow all the instructions to install the language package.
The next thing you have to do once you've installed the Magento 2 language pack is to activate it. In order to do it in the Magento 2 Admin Panel navigate to Stores > Configuration > General > Locale Options. In case you have several store views switch to the Store View you want to change the language for and in the Locale dropdown choose the corresponding language.
Once you've chosen the language don't forget to Save Config and Flush Magento Cache.
This post is just one of the series of articles about How to Configure Multi-Language Magento Website? which include information about the creation of a new store view, useful multi-language store extensions, product&category, CMS pages&blocks, email templates, and other translations in Magento 2 website. You should definitely get acquainted with them in order to know how to manage a multilanguage store.