Where were you pasting it from?
You can open the Windows XP Character Map and display the characters in any active typeface. On my system, the character set in Advanced View was set to Windows: Western. When I change the character set to Unicode or Windows: Greek, the Greek alphabet becomes available. (How far you have to scroll depends on which character set you're using.) There's no key combo shown for these characters unless there's some way to directly enter a Unicode code.
When I paste the lowercase Greek alpha into Xara, it comes in in Times Roman (even though my default font is Arial). You can then change the font to Verdana.
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