Database contain NLS_CHARACTERSET as WE8MSWIN1252

[esanray]

I am installing cognos 8.3 in os XP with the database oracle 10g.  My database display the NLS_CHARACTERSET display  WE8MSWIN1252.

I want to know for which purpose the NLS_CHARACTERSET is required. I mean to say is it mandatory to change the NLS_CHARACTERSET in to AL32UTF8 or UTF-8 or I will go forward without create a new database with the NLS_CHARACTERSET as AL32UTF8 or UTF-8.

If it is mandatory then please let me know the steps to create a new database in oracle 10g with the  NLS_CHARACTERSET  as AL32UTF8 or UTF-8.