On Windows systems, the location varies a little. If you're running on older WIndows 95/98, you'll find it under Control panel -> Keyboard -> Language, then select "Add," find the appropriate entry, and set it as the default.
You may have to have your Windows installation CD to hand for it to locate the U.K. keyboard driver, since U.S. is, naturally, considered the standard keyboard and anything else has to be installed as a variation.
If you need to run DOS applications under Windows as well, then you should also make sure that you modify CONFIG.SYS and AUTOEXEC.BAT in the root directory to load the appropriate DOS keyboard drivers, otherwise your DOS programs will still assume a U.S. keyboard with the resultant "/@, #/£ etc. problems.
If you're running Unix of any flavor or some other system, then it will be totally different, of course!
P.S. On a PC-layout keyboard, get ready to be forever hitting "\" when aiming for the left shift key! If you're using a U.K. keyboard at work, I expect you've already realized that though!