Hello Pascal,
URL in form of
www.mysite.com/mysection/mycategory/myarticlename.html
is a default behaviour (except that you have to enable section to show up there, which is off by default).
If you have URL in form of:
www.mysite.com/mysection/mycategory/mycategory.html
then either it is not an article, or there has been something done wrong... in such case, try deleting such URL in the URL list and let JoomSEF regenerate it.
All latin character like é è or à are replaced in admin titles by other symbols
-- yes, this may be setup in the configuration of JoomSEF.
By default, the characters are stored in UTF-8, but if you reedit them and resave, they will be stored in encoding your site is using. So this may not work 100% correct with default installation if your encoding is not UTF-8, but after resaving and purging already generated URL, is should work fine in any encoding.
Best regards,
michal