load data character set question

[R Menon]

Mysql version: set session character_set_database=utf8
OS: Windows Vista

I have a file that when loaded with the load data infile command - fails with the error:
ERROR: Incorrect string value: '\xE2\xA2\xE3?\xE2\xB4...' for column 'column' at row 1

the file gets successfully loaded if i use the following command at session level:

set session character_set_database=latin1.

This is needed since at database level this parameter is set to utf8.

Now, I would have thought if i specify the character set (of latin1)in the load command itself, it would have worked - it does not and fails with the same error.

Is this a known bug or am I missing something?

Thank you!
Menon