":setlocal spell" shows "SpellLocal" errors

I'm using vim 7.1 from the cygwin 1.5.25 installation. I did:

:set spelllang=en_us,us_ca

I got:

Warning: Cannot find word list "us.latin1.spl" or "us.ascii.spl"

Before getting the above error, Vim asked for permission to download
those files, but couldn't find them. After the above error, local
spellings such as "neighbourhood" and "colour" are highlighted as
SpellLocal, meaning that it is the /wrong/ spelling for the selected
region. I thought I was selecting the region with above command?

Also, the REGIONS section of helpfile spell.txt has a different
explanation for SpellLocal. It says that group simply highlights
words used in one region but not another. Nothing about a designated
region, for which the typed word is wrong.

Thanks for any guidance.
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