When I tried to export database with UTF8 characters in one big file, and then open it in the UltraEdit, I received strange characters like:
ĂŤ
Instead of letter:
Ä
Solution is to change the font, like it is describe it here, and then open it with UltraEdit but where you will choose:
Format: 1250
Open as: UTF-8
Same is when you are opening the file from HeidiSQL.