1) Make a backup, use phpmyadmin, or use your hosting firms tool.
make sure you select the export charset to iso 8859-1
2) Create a new db, and then import the backup file to the new db.
3) look at this site: http://www.phoca.cz/documents/38-tools/154-how-to-change-collation-in-database
Download the tool
4) unpack and upload the tool to your site.
5) Make the conversion
6) rememeber to remove the tool afterwards.
I have testet this with Mediawiki and Joomla, with no problems.
This also solves the problems with æøå and Joomla, after an upgrade.