The Linux whois client by Marco D'Itri does supports IDNs, so I came up with a Windows porting. For example, your query shows up as in the following:
>whois ändlöslängtan.se # Copyright (c) 1997- .SE (The Internet Infrastructure Foundation). # All rights reserved. [cut] # The data is in the UTF-8 character set and the result is # printed with eight bits. state: active domain: xn--ndlslngtan-p5af5u.se (A☼ndlA¶slA☼ngtan.se) holder: andrea4342-00001 admin-c: - tech-c: - billing-c: - created: 2011-02-20 modified: 2014-02-10 expires: 2015-02-20 transferred: 2014-02-10 nserver: ns2.loopia.se nserver: ns1.loopia.se dnssec: unsigned delegation status: ok registrar: Loopia AB
@sahmeepee method was correct albeit indirect, but you would need to install IDN+ICONV libraries. In my porting I preferred to statically link them, in order to obtain a standalone executable.
You can find the first release along with the source code in my github page.