with Python 2.5b3,

Here is an attempt to use a unicode filename with bsddb:

>>> dbe = db.DBEnv()
>>> dbe.open(u'\u03b3\u03bb\u03ce\u03c3\u03c32',
db.DB_CREATE | db.DB_INIT_MPOOL)
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
__builtin__.UnicodeEncodeError: 'ascii' codec can't
encode characters in position 0-4: ordinal not in
range(128)

This is on Windows XP.

Here are some indications that the underlying SleepyCat
library ought to be able to do the right thing here:

http://www.sleepycat.com/xmldocs/ref/build_win/unicode.html
http://www.sleepycat.com/update/4.3.29/if.4.3.29.html

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The sleepycat Unicode build procedure is not usable for
Python. The exposed API (db_open) etc. still operates on
char* strings. It then internally decodes them to WCHAR_T
before passing them to the Win32 API. Why they do this is
beyond me; I can't see any advantage in doing so (for the
users of the library, nothing changes).

It would be possible to change _bsddb to encode Unicode
strings automatically with the "mbcs" codec. Not sure
whether that would help in your case, as I don't know what
the system ANSI code page on your installation is.