Thank you all for your quick and good answers. This level of responsiveness is truly amazing.
I've played a bit with IPython and it works just fine. I can type the eurosign drectly with "Alt Gr - E" (so I didn't enter a unicode code). So the bug is basically solved for me. But the python-repl behaviour still looks strange to me. So here's a successful IPython session :
C:\PORT-STCA2\pl-PRIVATE\horse>chcp 65001
Active code page: 65001
C:\PORT-STCA2\pl-PRIVATE\horse>ipython
Python 3.4.1 (v3.4.1:c0e311e010fc, May 18 2014, 10:38:22) [MSC v.1600 32 bit (Intel)]
Type "copyright", "credits" or "license" for more information.
IPython 2.2.0 -- An enhanced Interactive Python.
? -> Introduction and overview of IPython's features.
%quickref -> Quick reference.
help -> Python's own help system.
object? -> Details about 'object', use 'object??' for extra details.
In [1]: print('€')
€
In [2]: