I cannot replicate your issue. Specifically, I placed a file named héllo.txt ("h\xE9llo.txt", set in the file explorer) in my working directory and then successfully executed the command stat "h\xE9llo.txt";. What version of Windows, Perl?

Microsoft Windows XP [Version 5.1.2600]
(C) Copyright 1985-2001 Microsoft Corp.

C:\>perl -v

This is perl, v5.8.9 built for MSWin32-x86-multi-thread
(with 9 registered patches, see perl -V for more detail)

Copyright 1987-2008, Larry Wall

Binary build 825 [288577] provided by ActiveState http://www.ActiveSta
+te.com
Built Dec 14 2008 21:07:41
[download]

run under XP SP3. If my test case works for you, you may find perlunitut and perluniintro illuminating.