E.g.: "Архив.gz" (Archive.gz)
Perhaps limit system folders and files to ascii-only. Doesn't solve any of the picjpg.exe issues, but it's a start.
I doubt there is an acceptable non-heuristic solution.
1. Highlight any two adjacent characters from different languages. Virtually no one needs an English word with one Cyrillic letter substituted in.
2. Highlight any word whose letters all look like they are for the current locale but is made entirely of code points from another language.
But then what's the solution for someone who speaks both Russian and English?
CJK fonts often include not only CJK, but European characters as well. Almost always at least ASCII.
Ultimately, having a single font for all characters is desirable: Having to go track down more fonts because you're seeing � in your text is a pretty bad experience. Substituting other fonts is at best a kluge, as it often looks terrible.
Projects like DejaVu who plan to eventually cover all living scripts (http://dejavu-fonts.org/wiki/Plans) are not only a good thing but they are also making substantial progress.
Also, even in ASCII, there are a bunch of confusing characters (all depend on which font, of course): I (eye), l (ell), 1 (one), | (vertical bar); O (oh), and 0 (zero); {} (braces) and () (parentheses); 5 (five), S (ess), and $ (dollar), rn (r-n) and m; vv (v-v) and w; etc.
Wе nееԁ tօ fⅰnⅾ Ьеttеr ѕоⅼυtions tҺаɳ vіѕυаⅼⅼУ dіѕtіɳgυіѕҺing сҺаrаⅽtеrѕ.