doc: Set PYTHONUTF8=1 for functional tests on Windows

Author: hebasto

test/README.md

@@ -26,13 +26,20 @@ See [/doc/fuzzing.md](/doc/fuzzing.md)
 
 ### Functional tests
 
-#### Dependencies
+#### Dependencies and prerequisites
 
 The ZMQ functional test requires a python ZMQ library. To install it:
 
 - on Unix, run `sudo apt-get install python3-zmq`
 - on mac OS, run `pip3 install pyzmq`
 
+
+On Windows the `PYTHONUTF8` environment variable must be set to 1:
+
+```cmd
+set PYTHONUTF8=1
+```
+
 #### Running the tests
 
 Individual tests can be run by directly calling the test script, e.g.: