In the root of the Mario Kart Wii DVD filesystem, there is a folder called "Scene", and inside that folder there is another one called "UI". It contains all the .szs files for each of the menus, and the text for each language, so the files look different between each version.
First of all, the ones that don't contain a letter are the menu itself (which is why they are bigger in size). For example, Channel.szs is the Mario Kart Channel menu, Channel_E.szs is the European English text of the Mario Kart Channel. On the Korean version, for some reason, the ones that in other versions don't contain a letter are labelled as "_R" (for Regular, probably). So, in the Korean version, Channel_R.szs is the Mario Kart Channel menu, Channel_K.szs is the Korean text of the Mario Kart Channel. Despite the name difference, the no letter and _R files are compatible between eachother, so if you're modding a no letter file, you should be able to just copy it and add _R for Korean disc players.
Here are what each of the letters means:
_J = Japanese (on the JP disc)
_E = Europe English (on the PAL disc)
_F = Europe French (on the PAL disc)
_G = German (on the PAL disc)
_S = Europe Spanish (on the PAL disc)
_I = Italian (on the PAL disc)
_U = American English (on the US disc) (stands for USA probably)
_Q = American/Canadian French (on the US disc) (stands for Quebec probably)
_M = American Spanish (on the US disc) (stands for Mexico probably)
_K = Korean (on the KR disc)
Then there is another file, Font.szs, which contains all the fonts for the game in .brfnt format. The Korean version contains Font_K.szs instead, which includes hangul characters to the fonts. These are NOT COMPATIBLE between eachother, since the brfnts have different names. However, if you import the fonts manually and rename them accordingly, they will work. (Although the Korean font on non-Korean discs has a thinner outline and looks a bit weird, but at least it works.)
Alright, now that that's that, on to the no letter / _R files.
Award.szs = Loaded on the award-giving animation after a game is finished. Watch out because inside the Demo folder there is another file called Award.szs as well.
Channel.szs = Mostly the in-game Mario Kart Channel menus. (The one on the bottom right of the main menu, not the one you install to the Wii Menu.) I say mostly because they put here all the stuff added last-minute. (Mario Kart Wii was a rushed videogame, in case you are just figuring out.) It also contains other stuff such as the ESRB screen (US disc only). So, only the US version loads Channel.szs after the strap screen, to show the ESRB screen. I made a modpack that removed the Mario Kart Channel and kept crashing for American disc players only, and I could not figure it out, until we reverse-engineered the crash and we figured out why. So, if you're making a modpack, either keep Channel.szs in there, or do everyone a favour and use this code made by Diamond to completely skip it: https://mkwii.com/showthread.php?tid=1618
(At least the unreleased Chinese version put the ISBN screen in a more sensible place...)
Event.szs = Loaded when showing the instructions and character selection for a competition/tournament. Notable for having a different, orange UI colour.
Globe.szs = Loaded on the Nintendo WFC menu. This includes friend rooms, the friend roster, and searching for players, but not the screen where it says "Getting ready to race" and then has you pick a track. So basically, when there's a globe in the background (and it's not the Mario Kart Channel.)
MenuMulti.szs = Loaded on the Multiplayer (2/3/4) menu, and on the "Getting ready to race" and track selection screen when playing online with two players (splitscreen).
MenuSingle.szs = Loaded on the Single Player menu, and on the "Getting ready to race" and track selection screen when playing online with 1 player (no splitscreen).
Present.szs = Loaded on the screen when you unlock something new.
Race.szs = Loaded when you're in a race (or battle, time trial, competition, you name it), or when you're spectating one (watching a ghost replay, on the demo screens in the title screen, or on the live replay online). Some of the HUD textures for this are in the localisation files, due to the placement and LAP / SCORE textures needing to be translated.
Title.szs = Loaded on the title screen and main menu. The upper part of the title screen is on the localisation files, the lower part is on Title.szs / Title_R.szs. The developers did this to be able to display a different logo in each language, but since the only versions needing a different logo are Japan and Korea and they already have it different, this is redundant, and just an annoyance for modding it. So, if you make a custom title screen, make sure to replace it on both the original no-letter .szs file and all the language ones.
MenuOther.szs = Pfft, everything else. First time save data screen, disconnection screen, options menu, licence settings menu, PAL60 information screen. MenuOther_E.szs on PAL, MenuOther_J.szs on JP, MenuOther_U.szs on US, and MenuOther_K.szs on KR have an extra file inside called StaffRoll.bmg (saying from memory, but I think it's right), which contains the text of the credits. The credits are in English no matter what, so this loads no matter what language you're using.
If you're looking for the strap screen, that's in Boot\Strap\[region]. Watch out, though, because the Korean one only has a 4:3 version.
If you're looking for the HOME menu, that's in the "hbm" folder.
Now, you may be looking into modifying the text, and seeing that each language szs file has different files, and feeling the migraine coming as you see yourself needing to edit the text of each file manually. If this is you, here's a guide to easily modify all the text in all files with a couple commands without having to ever care about going through each of these individually: Guide: Editing the text of Mario Kart Wii.