It's a bit tedious, but if you're using phpMyAdmin, follow these steps:
1. Locate your database on the left frame, and click it. Your database information should now appear on the main (right) frame, and the left frame should change to a list of all the tables.
2. Click on a table on the left frame. This time, the table's information should appear in the main frame with a list of the fields/columns. If not, click the "Structure" tab on the main frame.
3. Click the "Check All" below the list of fields, and all the fields on the table should now be marked.
4. Click the "Change" icon, the one that looks like a pencil at the right of `With Selected`.
5. You will now be presented with a form which allows you to modify the selected fields. What you're interested in is the "Collation" row. Change each collation to utf_general_ci (only for those with an existing collation already). Press save once done.
6. Repeat steps 2-5 for each of your tables.
This is using phpMyAdmin 3.1.1, by the way.