We present a detailed analysis of a very high resolution (R\approx 112,000) spectrum of the quasar HE 0515-4414 obtained using the High Accuracy Radial velocity Planet Searcher (HARPS) mounted on the ESO 3.6 m telescope at the La Silla observatory. The HARPS spectrum, of very high wavelength calibration accuracy (better than 1 mÅ), is used to search for possible systematic inaccuracies in the wavelength calibration of the UV Echelle Spectrograph (UVES) mounted on the ESO Very Large Telescope (VLT). We have carried out cross-correlation analysis between the Th-Ar lamp spectra obtained with HARPS and UVES. The shift between the two spectra has a dispersion around zero of σ\simeq 1 mÅ. This is well within the wavelength calibration accuracy of UVES (i.e σ\simeq 4 mÅ). We show that the uncertainties in the wavelength calibration induce an error of about, Δα/α\le 10^{-6}, in the determination of the variation of the fine-structure constant. Thus, the results of non-evolving Δα/αreported in the literature based on UVES/VLT data should not be heavily influenced by problems related to wavelength calibration uncertainties. Our higher resolution spectrum of the z_{abs}=1.1508 damped Lyman-αsystem toward HE 0515-4414 reveals more components compared to the UVES spectrum. Using the Voigt profile decomposition that simultaneously fits the high resolution HARPS data and the higher signal-to-noise ratio UVES data, we obtain, Δα/α=(0.05\pm0.24)x10^{-5} at z_{abs}=1.1508. This result is consistent with the earlier measurement for this system using the UVES spectrum alone. 14 pages, 13 figures, Accepted in A&A