Traceback (most recent call last):
  File "<pyshell#22>", line 1, in <module>
    x.encode('cp1251')
  File "C:\Python25\lib\encodings\cp1251.py", line 12, in encode
    return codecs.charmap_encode(input,errors,encoding_table)
UnicodeDecodeError: 'ascii' codec can't decode byte 0xe4 in position 0: ordinal not in range(128)

x = raw_input(u'Это будет записано в файл: ')
x.encode('cp1251')