1) Please confirm: are you using the LOAD DATA type of CSV-import
2) How is the file encoded? Could you attached a small example? Or simply open in Notepad and next 'save as' and see what encoding Notepad proposes for the file. a unicode or a non-unicode encoding?
3) Tell the SQLyog version you are using, the MySQL version and the default charset for this MySQL server.
Since MySQL 5.0.37 there is a CHARSET parameter in LOAD data and we have supported that in SQLyog for at least 1 year. Before that the server will assume the the file is encoded like the server default charset (and the option will be 'greyed out' in SQLyog). That means for instance that with servers before that a utf8-file will not import to a server having latin1 as default charset (unless file is pure ASCII).
See attached image for how to specify the charset for import in SQLyog:
[attachment=1230:charset.jpg]