...pulling from the depths of the memory here.. hopefully I can help a bit..
You'll get that error if the charset you want to use isn't in the Index file, the two are related. Where did you install your MySQL DB? Is it installed under c:\mysql? Make sure c:\mysql\share\charsets exists. It seems that the charset files were in a different directory and had to be moved over....er... or something. This is one of those things you do once and then subsequently forget to make more room for football stats! ;-)