In Office 2003 (and I suppose it's true for Office XP and 2000):

When we save an Excel file to CSV file, Excel doesn't ask if we have to care
about encoding, in particular, I wanted to save Unicode in UTF-8 but I can't.
This is very annoying for multi-national companies which has Excel files
coming from different part of the world.

On the other hand, I tried to edit a CSV to add some Chinese characters in
it and save it in UTF-8 and double-click to open it. Excel is then launched
but it doesn't care file encoding either. The only way to get around
"opening" is to change the file extension from .csv to .txt. Now, if we open
this text file, a wizard will present us the option to choose the file
encoding!!!

Only a little change in file extension and the behaviour is changed. What a
pity that Excel doesn't care about UTF-8.