ALT and 955 on a keypad give you lambda (confirmed in Windows 7). Press and hold ALT while typing 955 on the numeric keypad. ALT-913 through ALT-969 cover the whole Greek alphabet.
Reminder: to type alt codes you need to have the NUM LOCK engaged on your keyboard. Press NUM LOCK and usually a little light will turn on on your keyboard. If you're on a laptop the numeric keypad is available but you'll need to activate the NUM LOCK and use the alternate coloured numbers superimposed on your letters to guide you (e.g. uio usually become 789 when the NUM LOCK is turned on).
Alternate answer: First type 3BB then press alt+x. This hexadecimal Unicode works in Microsoft Word for Windows.
Note: the font determines what shows up. Some fonts don't support Greek letters.
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