Actually Kindle 3 supports Cyrillic characters. Kindle previewer for PC support Cyrillic starting from 1.6 (or 1.61) version. Old versions of Kindle and Kindle DX have no native support for Cyrillic while it is expected with new firmware updates. You should convert your source file to unicode charset before sending the file to kindlegen. To convert your source file you can use free notepad++ (select convert to UCS-2 Little Endian).