MSSQL to PostgreSQL : Encoding problem

Hi list !

I already posted this as "COPY FROM encoding error", but I have
been doing some more tests since then.

I'm trying to export data from MS SQL Server to PostgreSQL.
The tables are quite big (>20M rows), so a CSV export and a "COPY
FROM3 import seems to be the only reasonable solution.

In DTS, I have 3 options to export a table as a text file : ANSI,
OEM and UNICODE.
I tried all these options (and I have three files, one for each).

I then try to import into PostgreSQL. The farther I can get is
when using the UNICODE export, and importing it using a
client_encoding set to UTF8 (I tried WIN1252, LATIN9, LATIN1, ...).
The copy then stops with an error :
ERROR: invalid byte sequence for encoding "UTF8": 0xff
État SQL :22021

The problematic character is the euro currency symbol.

Does anyone know how I can solve this ?
Thanks a lot !

--
Arnaud