E-Mails are sent in the encoding that is specified in the ColdFusion Administrator. For ColdFusion MX (6.0) and up this is UTF-8 by default.
You can explicitly mention the encoding like this, but it should not be necessary.
<cfmail type="text/html; Charset=UTF-8" ...><!--- body ---></cfmail>
For the HTML file you dump to disk, the following applies:
<cffile action="write" charset="UTF-8" ...>
And you should have the encoding as a META tag, so the browser you use for preview does not have to guess:
<meta http-equiv="Content-Type" content="text/html; Charset=UTF-8">