Your problem is not in Python but in cmd.exe. It has to be set to support UTF-8. Unfortunately, it is not very easy to switch windows console (cmd.exe) to UTF-8 "Python-compatible" way.
You can use command (in cmd.exe) to switch to UTF8:
chcp 65001
but Python (2.5) does not recognize that encoding. Anyway you have to set correct font that support unicode!
For box drawing, I recommend to use old dos codepage 437, so you need to set up it before running python script:
chcp 437
Then you can print cp437 encoded chars directly to stdout or decode chars to unicode and print unicode, try this script:
# -*- coding: utf-8 -*-
for i in range(0xB3, 0xDA):
print chr(i).decode('cp437'),
# without decoding (see comment by J.F.Sebastian)
print ''.join(map(chr, range(0xb3, 0xda)))
However, you can use box drawing chars, but you cannot use other chars you may need because of limitation of cp437.