Problem With Yum

Yum was working well and happy, then suddenly I got this:
root@yama mauro]# yum
Traceback (most recent call last):
 File "/usr/bin/yum", line 60, in ?
   yummain.main(sys.argv[1:])
 File "yummain.py", line 119, in main
 File "/usr/lib/python2.2/locale.py", line 381, in setlocale
   return _setlocale(category, locale)
locale.Error: locale setting not supported

Someone knows how to make  Yum happy again?

Thanks,
Mauro