I reseted my Nokia Lumia 720 and chose English as the primary language. After updating an app called Extra+Info the latest Windows Phone update Denim was there automatically! That was a big surprise! I don't think anything was downloaded. Weird! To make Cortana work I had to install English (UK) as the speech language. It took some time to download and install the language package. And that's it! See the pictures below. Now I have my very own assistant with me brought by Microsoft.
Ok, Cortana is nice. However I'm looking forward to see Windows Phone 10 Preview in February. In order to make that happen on Nokia Lumia 720 an app called Windows Insider is needed. It sort of makes Lumia ready for WP 10 preview. Read where Windows Insider can be found.