As zeffi pointed out, setting the preferences to use a Russian font is the answer to getting your filenames looking correct.
Blender doesn't use these international settings when working with a 3DText object. Blenders default font for a text object is a simple plain font that is rarely used in a final project and as you have found isn't good with non-english characters. It is common practice to select a different font for any text objects in blender, and the font used is very much a personal preference.
One way to make it easier is to add a bookmark for your fonts folder, that way when you add a text object you can easily get to the folder containing your fonts. You can also set a default fonts folder in preferences as the location blender will start looking for fonts.
Another option is to customise your startup.blend file. You can setup a scene any way you want and save it as your startup file. Anytime you start blender or select File->New the contents of your startup.blend is used. By having a text object setup with the font you want to use in the startup.blend it will always be ready for you to use.