The fact that MS-word and some other sources use CP-1252, and that it is so close to Latin1 ('ISO-8859-1') causes a lot of confusion. What confused me the most was finding that mySQL uses CP-1252 by default.

You may run into trouble if you find yourself tempted to do something like this:
<?php
    $trans[chr(149)] = '&bull;';    // Bullet
    $trans[chr(150)] = '&ndash;';    // En Dash
    $trans[chr(151)] = '&mdash;';    // Em Dash
    $trans[chr(152)] = '&tilde;';    // Small Tilde
    $trans[chr(153)] = '&trade;';    // Trade Mark Sign
?>

Don't do it. DON'T DO IT!

You can use:
<?php
    $translationTable = get_html_translation_table(HTML_ENTITIES, ENT_NOQUOTES, 'WINDOWS-1252');
?>

or just convert directly:
<?php
    $output = htmlentities($input, ENT_NOQUOTES, 'WINDOWS-1252');
?>

But your web page is probably encoded UTF-8, and you probably don't really want CP-1252 text flying around, so fix the character encoding first:
<?php
    $output = mb_convert_encoding($input, 'UTF-8', 'WINDOWS-1252');
    $ouput = htmlentities($output);
?>