We have this faq:
http://www.webyog.com/faq/34_102_en.html
I think the problems is the charset_connection.
When importing you must use 'utf8' as the charset for the connection in the wizard.
When connecting with SQLyog GUI you must use a korean non-unicode character set. 'koi8*'
The charset for the connection is available from the dropdown in the connection manager.