[Walter Vom saal]

Using Microsoft Vista and Photoshop CS2, the following procedure works for me.
Go to All Programs > Accessories > System Tools > Character Map
Select desired font, select desired character, click Select box at bottom, click Copy box at bottom.

Return to Photoshop text box, insert cursor to desired location in text box, click on Window > Character to get the Character Palette, select the same font you used to get the character, select Paste (Ctrl+V).

Caution: if you do not use the Character Palette to select the same font you used to choose the special character, you will get incorrect results. For example, choose an arrow character in Wingdings and paste it into a Photoshop Text Box, and if you have your font set to Times New Roman it will come out all wrong. Then use the Character Palette to change fonts from Wingdings to Wingdings2 to Wingdings3, and you will see how it changes.