Anuj ,

The character set is initially set in the "Create Database" statement,before doing an export make sure your OS env variable for NLS_LANG, you can use the following script to find what character set is set for your database:

select 'export NLS_LANG="'||char_date.value||'_'
||char_iso_value.value||'.'
||char_char_value.value||'"'
from v$nls_parameters char_date,
(select value
from v$nls_parameters
where parameter='NLS_ISO_CURRENCY') char_iso_value,
(select value
from v$nls_parameters
where parameter = 'NLS_CHARACTERSET') char_char_value
where char_date.parameter = 'NLS_DATE_LANGUAGE';

ALSO NOTE: In order to change Character Set you have to RECREATE DB!!