you have to set your database collation to a collation that accepts this type of character or you can add the collation clause on your select like this (google told me this is a Hindi character)
declare @unicodetext nvarchar(250)
set @unicodetext='बन्द'
select @unicodetext
COLLATE Indic_General_90_CI_AS
that wont work, but I found this on BOL for SQL Server 2005:
4 The Hindi collation is deprecated in SQL Server 2005 because the
Windows 2000 sorting table is used in this SQL Server release. The
collation still exists in the server, but it will not be supported in
a future SQL Server release, and it does not show up in
::fn_helpcollations().
5 The Hindi and Lithuanian_Classic collations are deprecated in SQL
Server 2005. These collations still exist in the server, but they will
not be supported in a future SQL Server release, and they do not show
up in ::fn_helpcollations().
for 2008:
Hindi (India) - Not available at server level