I am trying to import a dump and I get the following message:
Export file created by EXPORT:V10.02.01 via conventional path
import done in US7ASCII character set and AL16UTF16 NCHAR character set
import server uses WE8MSWIN1252 character set (possible charset conversion)
export client uses EL8ISO8859P7 character set (possible charset conversion)
...
Is it possible to change NLS and how? Do I have to install Oracle XE from scratch?
There are two versions of XE, one for 'western' and one for 'universal'. Looks like you have the former, and I don't have the former to test with.
If you need to use multi-byte characters, you need the latter, but I think this issue should be okay.
US7ASCII is the lowest of the low (only uses character 1-127). WE8MSWIN1252 can use a 255 character set, as can EL8ISO8859P7. They are just a bit different.
Before doing the import, try
export NLS_LANG=GREEK_GREECE.EL8ISO8859P7
(or the windows equivalent).