To connect to database you use connect string specific to your database and driver.
I used MS MSQ long time ago but I remember that they had jtds
driver. Connect string for such driver looks like:
jdbc:jtds:sqlserver://hostname:1433/my_database;useUnicode=true;characterEncoding=UTF-8
But from that time MS create their own JDBC driver and if you use it then I think you can add:
sendStringParametersAsUnicode=true
to your connect string. It is decribed at http://technet.microsoft.com/en-us/library/ms378988.aspx
In a case of problems show us your connect string and code where it is used.