UnicodeEncodeError: 'ascii' codec can't encode character

cygwin ならできるけど、ntemacs + python-mode.el だと、C-c で
うまく変換できない。

# -*-mode:python; coding:utf-8-*-
print "あ"
print u"あ"
----------------------------------------------------
あ
Traceback (most recent call last):
  File "<stdin>", line 5, in <module>
UnicodeEncodeError: 'ascii' codec can't encode character u'\u3042' in position 0: ordinal not in range(128)