When I try use instead LANG_ENGLISH any other lang - for instance:

directory RT_DIALOG,dialogs
resource dialogs,\
37,LANG_RUSSIAN+SUBLANG_DEFAULT,demonstration
dialog demonstration,'Создание MessageBox (Some stuff on russian) ',70,70,190,175,WS_CAPTION+WS_POPUP+WS_SYSMENU+DS_MODALFRAME
dialogitem 'STATIC','&Caption:',-1,10,10,70,8,WS_VISIBLE

When I run program it write some very odd stuff in window caption.
In hex-editor it seems what unicode data resource section in exe file look invalid.
What I did wrong?

You must include the proper encoding macros to get the Unicode strings generated correctly. See the Text encoding section of the headers documentation.

Thanks a lot