No you don't. Versions of MySQL lower than 4.1 do not have built in UTF-8 support. However, Joomla! 1.5 has made provisions for backward compatibility and is able to use UTF-8 on older databases. Let the installer take care of all the settings and there is no need to make any changes to the database (charset, collation, or any other).
What will happen if l cant go ?
