Yes. How you include this information depends on the "kind" of writing you are doing.
Most writers in the humanities use the MLA system, according to which the page number would be included in a parenthetical citation--e.g. (395), and the encyclopedia's name and publisher would be included in a separate Works Cited page at the end of the paper. An internet search for "MLA" should bring up many examples of proper documentation. I can recommend:
www.nutsandbolts.washcoll.edu/mla.HTML
www.owl.English.purdue.edu
www.mla.org
Other forms of documentation include the APA style (for writings in/about the Social Sciences), Chicago ("non-scholarly" works), and AMA (medicine and biological sciences).
When quoting from encyclopedias and other reference works always give details of the edition. If quoting from a website, give the date you accessed (read) the site.
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