I've got a PHP file containing only this :
<?php header( 'Location: http://www.yahoo.com'); ?>
Redirection works locally but not on my Blue Host server. Support department says I must change my PHP file's character encoding from UTF8 to ASCII and it will work. However I have no idea how to do that. Is there a free software that does it easily, or any other way ?
That's why you should never ask programming questions to the HSP support guys. It's out of their scope and in the best case they'll provide some bogus advice like this.
Whatever, it's possible that there's some truth in the reference to UTF-8. Check your editor settings and make sure your UTF-8 files do not contain BOM (Unicode Byte Order Marker). It isn't mandatory and most applications get confused with it, esp. PHP itself.
In newer versions of notepad (windows) you can select the encoding when you 'Save as'.
Otherwise use notepad++ which has an encoding menu.