Unicode and multiple character sets are not supported until version 4.10.
See section 9 of the manual. 4.1.1 is still alpha but its quite stable if
your server isn't in a production environment.
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I finally upgraded to 4.0.17 to be able to use the support for Unicode
but I have problems running any of the examples I have seen to use th
'CHARACTER SET' option when creating tables. For example, even the
following doesn't work:
CREATE DATABASE db_name
CHARACTER SET latin1 COLLATE latin1_s