mysql select into dumpfile create file with garbage code when the select contains non-english character(utf8)

[Peter Hon]

I am using Mysql select into dumpfile to dump data into a file.

select data from table1 into dumpfile "c:\xxxx"
where XXXX is non-English character(utf8 character), however the outcome file name in the Windows directory becomes strange garbage code. Is there any way I can keep the non-English XXXX(utf8 character) in the file name but not become strange character？