SQL Server 2005/2008 UTF-8 Collation/Charset I can't find option(s) directly to set UTF-8 rellated Collations/Charsets in SQL Server 2005/2008, same as is possible to set in another SQL engines, but in SQL Server 2005/2008 are there only Latin and SQL collations. 

Is there some option to force/install these collations / charsets in SQL Server engine (for both ver.) 2005/2008 on Win2008 OS
No, there isn't. SQL Server doesn't support UTF-8.
You need to define your columns as nvarchar/nchar if you want unicode data. Note, internally SQL Server stores this as UCS-2.
Note that this has ben requested from MS on Connect and there is an older KB article. And some info on this blog too