This is because the font used by WLM9 does not have these characters, so they will show up as boxes. The font used by 8.5 (Tahoma if you're on XP, not sure about Vista though) also does not have these characters, so whatever your version and OS, they should always be boxes.
When choosing characters to use in your nick, always remember to use the Character Map set to Tahoma.
EDIT: if you're using WLM9, set it to Segoe UI.
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