Seems to be good.

1. I have just run MySQLAdministrator.exe.
First time it asked me for password.
I put the user + password correctly (port 3306 - where is the port ?).
but I have got the error : "could not find settings. Either the server
service or the
configuration file could not be found ..."
2. I didn't see a way changing the default character-set (I can only view
it)/
3. I suppose something like I have first said (main question !!!)
"C:\Program Files\MySQL\MySQL Server
5.0\bin\mysqld-nt.exe" --character-set-server=utf8"
.... Well, I cannot start the service that way, and I don't know what exactly
I should put on registry, but on command line there is no problem.
(I can run from command line, but I preffer running from service).

4. Is there any tutorial for MySQLAdministrator.exe ?

Thanks :)