Two things need to hold before you'll get your Euro:
1) The browser has to know what to do with the "€"
2) The character actually has to be in the font used.
On my machine at least, IE5.00 (SR2) fails to display the euro, while Mozilla0.9.9 succeeds. Another version of IE5 on another machine of my acquaintance does display the Euro symbol.
So in the end it depends on what your visitors are using. Either spell the word out or use € and hope people'll catch up eventually.