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There are two extensions that can help to solve this issue. Both works very well.
1. Strange URL Interpreter
http://ellislab.com/forums/viewthread/43527/#269190
2. Foreign Character Extension
http://ellislab.com/forums/viewthread/56006/
The second extension have the advantage that characters that are not included by default in the extension array can be added later. Perhaps the first extension allow the same thing, but I didn’t figured out how (I added characters in the php file, but received strange errors).
Warning: Cannot modify header information - headers already sent by
(output started at [URL]\system\extensions\ext.strange_url_interpreter.php:1)
in [URL]\system\core\core.functions.php on line 296