Make sure that you’ve configured gvim or your terminal emulator to use
a patched font.
You need to set your LANG and LC_* environment variables to
a UTF-8 locale (e.g. LANG=en_US.utf8). Consult your Linux distro’s
documentation for information about setting these variables correctly.
Make sure that vim is compiled with the --with-features=big flag.
If you’re using rxvt-unicode, make sure that it’s compiled with the
--enable-unicode3 flag.