See the post for using chinese in dos (cmd) under Windows XP (English).
If you have set locale to PRC as in above post, you are all set to input Chinese in Vim and Gvim. Do a ":set encoding" in vim/gvim, it should say the encoding is set to cp936 (codepage 936, ie. GBK/GB2312).
This is fine if you want to save file as encoded in GB2312. However I usually save all my file as UTF8. To do this I can issue ":set fileencoding=utf8" in vim, but I have to do it every time for a new file. Also, when you open a file previously saved as utf8 in Vim, it will displayed incorrectly because Vim assume it's encoded in gb2312. You can ask vim to reload a file with utf8 encoding by issue a ':e ++enc=utf8', but again you have to do it every time.
To solve these 2 problems, we need to edit our _vimrc file(located in Program Files\vim), and add these 2 lines:
The first line tell Vim to save any new file encoded in utf8, the 2nd line tell it to detect file encoding in that order.
That's it, now we can edit both utf8 and GB encoded file.
If you want to make Gvim look prettier when displaying Chinese, add following lines in _vimrc (assume you already have Chinese font installed):