Character with encoding UTF8 has no equivalent in WIN1252
I had a similar issue, and I solved by setting the encoding to UTF8 with \encoding UTF8
in the client before attempting an INSERT INTO foo (SELECT * from bar WHERE x=y);
. My client was using WIN1252 encoding but the database was in UTF8, hence the error.
More info is available on the PostgreSQL wiki under Character Set Support (devel docs).
What do you do when you get this message? Do you import a file to Postgres? As devstuff said it is a BOM character. This is a character Windows writes as first to a text file, when it is saved in UTF8 encoding - it is invisible, 0-width character, so you'll not see it when opening it in a text editor.
Try to open this file in for example Notepad, save-as it in ANSI encoding and add (or replace similar) set client_encoding to 'WIN1252'
line in your file.