Cheering her on were the Drag Squad -- six drag queens dressed as police officers, their blue uniforms complemented by large rhinestone necklaces, mini-skirts and stiletto heels.

They carried placards saying, "Thanks Christine" and "Thanks Victoria and Federal Police".

Dressed in full police uniform, Ms Nixon smiled and waved throughout the march as the crowd yelled their support.

Cries of "Good on ya, Christine" and "Go coppers" were heard from hundreds of people more accustomed to avoiding authority than cheering it.

As Ms Nixon, Assistant Commissioner Noel Ashby and Commander Leigh Gassner passed the Prince of Wales Hotel, thousands rose in a standing ovation.

"It is a great moment," Ms Nixon said as she greeted well-wishers and signed rainbow flags after the parade.

"It is terrific to see the community like that.

"I think people of the community really hope that we have overcome some of the prejudices that used to be there."

Derek Mills, 12, was one of the first to congratulate Ms Nixon after the parade.

Derek's parents, Fleur and Nicole, said they were grateful their three children were given the chance to see Ms Nixon and police march.

"It think it is great for the kids to see the police take part," Nicole Mills said. "For them to be a part of it, the kids can see the police saying it's OK to be different."

Transsexual Sally Goldner, from Mordialloc, gave the chief commissioner a hug of thanks after the march. "It's the best example of leadership we have seen in a long time," she told Ms Nixon.

Ms Goldner told the Herald Sun: "It just says that the institutional powers treat people on their merits."

Ms Nixon said she was surprised at the antagonism caused by her decision to join the march. The State Opposition, the National Party and talkback radio callers denounced her break with past police policy.

Ms Nixon said she was approached by gay and lesbian officers who had asked the previous commissioner to march and been refused, but she thought it important to support them.

Acting Sen-Sgt Mark Kleen, who marched behind Ms Nixon, said it was inspirational to see her in the parade.

Also marching were Acting Premier John Thwaites and Attorney-General Rob Hulls.

Members of Mr Thwaites' Albert Park ALP branch carried a large banner saying, "John Thwaites - not quite queer but always here".

Many of the on-duty police officers, who were in St Kilda to control the large crowd, applauded as Ms Nixon marched passed.

When asked how they felt about seeing her in the march, several said they had been instructed not to comment.