From tools .. preferences .. editor you must choose a font that has support for cyricllic. And choose the cyrillic script in the dropdown too.
We have added more fonts controls in 5.2. Expect beta5 today or tomorrow.
http://webyog.com/faq/33_7_en.html
We have a FAQ:
http://webyog.com/faq/34_102_en.html
If data are stored as uft8 or ucs2 and you have an English Windows localisation you must choose a non-unicode russian charset in the connectisons manager and select russian a default for non-unicode programs.