Nope, idx and dat files are only for the spell checker.
To make this work you'll have to learn how encoding works in multiple applications.
You'll start with C::B, then the compiler and then the console you're using.
If any of those doesn't speak the encoding you want to use you'll see what you see at the moment.
If you're test files are UTF8 you have to make sure that the compiler stores UTF8 in the executable and that your console is capable to show UTF8.
If your encoding is not UTF8 you have to do the same with your preferred encoding.