Yes, you need a special font. If you are using TrueType fonts, you'll have to add proper character set to the font definition (CHARSET=10 for Cyrillic). If you are suing bitmap fonts, you will have to generate different font images.
Other than that, the process is similar to other languages. All localizable texts should be extracted to a string table, the string table should be saved in UTF-8 format, so that you can conveniently edit it even in non-russian Windows.
See the Localization chapter in the documentation.