According to http://www.postgresql.org/docs/9.1/static/auth-methods.html, SSPI only works when GSSAPI is available and GSSAPI support has to be enabled when PostgreSQL is built. Does it mean that I need to uninstall PostgreSQL and reinstall it with GSSAPI support? I used the One click installer downloaded from http://www.postgresql.org/download/windows to install PostgreSQL and I’m not sure how to include GSSAPI support.
While I haven't used it myself, I'd be amazed if the one-click installer's version of Pg wasn't built with GSSAPI and SSPI support. You shouldn't have to do anything.