Correct me if I'm wrong (I've only been in the
40k universe for like a year or so
lol) but the Grey Knights started with the Emperor asking Malcador to find him 8 individuals "whose loyalty, courage and strength of mind was unquestionable" to present to the Emperor. Those guys were to be the first of the Grey Knights.
I read it here. Everything it says sounds good but I'm not an expert. I've heard a lot of different things about this. So correct me if this is false.
http://warhammer40k.wikia.com/wiki/Grey_Knights#History