Open the Tools menu, select Options and then select the Advanced icon in the left-hand panel. This reveals the Advanced settings in the main part of the dialogue. At the bottom, in the Special Characters section, change the "Only & < > and no-break space" setting to "The above and Latin-1 letters".
Without this change a £ sign remains in the code, as typed. However, as the £ sign is not part of ASCII (American Standard Code for Information Interchange) code, web browsers may display the character in an apparently arbitrary manner, depending on language settings and other factors. By making this change and encoding a wider range of characters as entities, the pound sign gets included in those converted. An entity, in HTML, is a special sequence of characters that all browsers will display in a uniformly.