Ouch!
I solved this problem.
A mistake in gretl packages in ubuntu repository. After installation 
from source all has worked.
thanks to all.
> On Tue, 14 Mar 2006, Zhukov Pavel wrote:
>
>> zeus(a)olimp:~$ LANG=it_IT gretl
>>
>> (gretl_x11:6134): Gtk-WARNING **: Locale not supported by C library.
>>       Using the fallback 'C' locale.
>
> This message is not from gretl itself: GTK is saying that the 
> specified locale is not supported by libc.  You can try, as root,
> using "localedef" to create the support files:
>
> localedef -i it_IT -f UTF-8 it_IT
>
> Then as a test:
>
> LANG=it_IT locale
>
> Allin Cottrell
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