A former lieutenant in the German army during World War II, Krieg was placed in charge of a special project to create an invincible army of supermen by harnessing the powers of vampires. He relished this assignment, viewing it as his chance to wage war eternally. Before he could finish his project and unleash his army of darkness on the Allied forces, his plans were destroyed by Alucard and Walter Dornez, the top vampire hunters of the British Order of Royal Protestant Knights, Hellsing.
Krieg himself was not destroyed, instead retreating into hiding with many German war criminals into Brazil. There, he slowly and methodically rebuilt his forces, perfecting the "freak chip" process which allowed him to turn anyone into a vampire, not just virgins. He built up an army of one thousand vampires, the Letztes Battalion. He also used the promise of immortality to worm his way into many of the worlds most powerful political, military and religious institutions.
His primary goal was England; or, to be more accurate, the vampire Alucard who protected England under the direction of Sir Integra Wingates Hellsing. Krieg's only true love is war. He loves it in all its forms. Whether he is losing or winning doesn't really matter to him, only the glory of the battle and the cries of the slaughtered. He will certainly do anything in his power to win, but views defeat as merely another fortune of war, to be embraced along with all the others. To this once-man, war is something to be nourished and aged properly, like a fine wine. Calling him a psychopath is not entirely correct, as he does not really have the ability to see things in the same limited human perspective as others.
Major Krieg's primary power is his charisma and military acumen. While he is a vampire and thus undoubtedly very powerful compared to a normal human, he prefers to oversee battle like a conductor rather than participate. Krieg has a talent for oratory that all the world's greatest tyrants and despots have shared. He can motivate his troops in a way that most generals woud envy, and has a grasp of tactics that is Machiavellian in its complexity. Combine this with his utter disregard for his own life, the lives of his soldiers, or even his own victory, and Krieg is a terrible enemy to confront, if only because you can never tell if you are foiling him or playing into his plans in some manner.