It looks like your OS doesn't have support for Greek collation in UTF-8.
You can see all the collations available to PostgreSQL with the following query:
select * from pg_collation;
Greek is el_GR.utf8
.
If listed, you would create a database using the query:
CREATE DATABASE greek WITH ENCODING 'UTF-8' LC_COLLATE='el_GR.utf8' LC_CTYPE='el_GR.utf8' TEMPLATE=template0;
If not listed, then you would need to add language support at the OS level.
I'm not very familiar with Windows, but from memory there is a way to add languages in the control panel (not sure if this adds UTF-8 support though).
With Debian Linux it's very easy:
$ dpkg-reconfigure locales
In any case, I would strongly advise you not to use the windows-1253 encoding for anything in your database. From experience, non-utf8 data will cause much pain down the road...