u'Hello World !' from page http://docs.python.org/tutorial/introduction.html#unicode-strings does not work. Python 3.1, windows xp. probably cause http://docs.python.org/release/3.0.1/whatsnew/3.0.html , "3.1.3. Unicode Strings" part. Maybe you can add link to release page in tutorial, if not updating it.
http://docs.python.org/ contains the documentation for Python 2.6, as stated on the front page. You can find a link to the doc for 3.1 on the left sidebar of the same page, it’s http://docs.python.org/py3k/
It’s normal that u'Hello' does not work with 3.x, the syntax is now just 'Hello'. There are docs about migrating from 2.x to 3.x that highlight that.