Unicode - behaving differently on Linux, Windows

FULL PRODUCT VERSION :
Windows
java version "1.5.0"
Java(TM) 2 Runtime Environment, Standard Edition (build 1.5.0-b64)
Java HotSpot(TM) Client VM (build 1.5.0-b64, mixed mode, sharing)

Linux
java version "1.5.0_06"
Java(TM) 2 Runtime Environment, Standard Edition (build 1.5.0_06-b05)
Java HotSpot(TM) Server VM (build 1.5.0_06-b05, mixed mode)

  Program is compiled on Windows machines.

ADDITIONAL OS VERSION INFORMATION :
Windows XP Professional
Red Hat Enterprise Linux ES release 4 (Nahant Update 3)
Kernel \r on an \m

A DESCRIPTION OF THE PROBLEM :
I am running same program on Windows XP Professional and Linux to read some data involving unicode characters. If I run the program from Windows it works fine but if I run it from Linux I get garbage for some characters.

Both the machines have latest JDK available for that OS. I am inserting the read data in MSSQL 2005. See steps to reproduce for an example.

STEPS TO FOLLOW TO REPRODUCE THE PROBLEM :
If I read the following url

http://www2.ac-lyon.fr/enseigne/philosophie/biblio4.html

using InputStreamReader which was taken from HttpURLConnection and insert the result by converting it into a string to a MSSQL db with column type nvarchar. I get following result on Windows machine for the word esthŽtique

Windows
esthŽtique
Linux
esth�tique

Please use the attached reusable files. RunTest.java fetches the url
contents insert the contents in mssql database. I am using mssql 2005. Also
attached are the java drivers for the same.

EXPECTED VERSUS ACTUAL BEHAVIOR :
EXPECTED -
On both OS esthŽtique should have had got inserted in the database
ACTUAL -
Windows -
esthŽtique
Linux -
esth�tique

REPRODUCIBILITY :
This bug can be reproduced always.