lc_monetary - Mailing list pgsql-cygwin

I'd like to get lc_monetary to start working on my cygwin/Win2000 setup.

I've tried:

SET lc_monetary='en_US.ISO8559-1';

but I get an error stating that "en_US.ISO8559-1" is an illegal value.
This works under RedHat and FreeBSD.  I've also tried 'en_US.UTF-8'.

What do I need to do to get it to work under cygwin?

Thanks!
Mark