I noted a similar problem regarding a Swedish website. Links to images with
åäö in the filename are URL-encoded in the generated source code:

src="../../../wp-content/uploads/2010/09/Jobbgrillens-Fredrik-Eddahri-kr%c3%a4ver-svar-fr%c3%a5n-SSU-180x130.jpg"

The file name of the image file however is is gets this file name:

Jobbgrillens-Fredrik-Eddahri-kräver-svar-från-SSU-80x80.jpg

I guess we have our self to blame for using special characters in file names,
but if there is a solution I will be glad if someone could share it with me.