Existence of probability measure defined on all subsets Let $S$ be an uncountable set. Does there exist a probability measure which is defined on all subsets of $S$, with $P({x}) = 0$ for any element $x$ of S ?
If I remove the condition $P({x}) = 0$, then I can trivially get a measure defined on all subsets as follows:
Fix some $a \in S$. For any subset $U \subset S$, define
$$
P(U) = 
\begin{cases}
1, \quad  \text{if} \quad a \in U \\
0, \quad  \text{otherwise}
\end{cases}
$$
But what happens if I am not allowed to put nonzero probability on individual points ?
 A: Let $S$ a noncountable set and  $\mu$ a measure on $S$ such that $\mu(S)=1$ and  $\mu$ definited on all subset of $S$. For $n\in \mathbb{N}$ let $E_n:=\{x\in S| \mu(\{x\})>1/n\}$ this is finite from $\mu(X)=1$, and from  $\cup_nE_n=\{x\in S| \mu(\{x\})>0\}$ follow that $E:=\cup_nE_n$ is countable. Then either $\mu(E\backslash S)=0 $ ($\mu$ is essentially defined only in a countable subset) or  $\mu(E\backslash S)\neq 0 $ we can restart from our initial data by the assumption: $\forall x\in S: \mu(\{x\})=0$.\
Now can be exist non trivial measure: Let $T \subset   S $ a no countable subset, and define the measure $\mu$ as
$\mu(A)=1$ if $T\backslash A$ is countable, $\mu(A)= 0$ if $T\backslash A$ isn't countable.
This is a example of a atomic measure, for definitions a measure is atomic if exist a measurable $B$ such that $\mu(B) > 0 $ and for any measurable subset $A\subset  B$ : $\mu(A)=0\ or\ \mu(B)=\mu(A)$,  $B$ is said an atom of $\mu$.
From the "THEORY OF CHARGES" Bashkara Rao AP 1983,  Corollary 5.2.13 p. 149) follow an a disjoint union: $S= \bigcup_{N\geq  n\geq  0} S_n  $ (where can N can be infinite) such that: for $n>0$ any $S_n$ is an atom of $\mu$ and $\mu$ in non atomic on the field of subsets of $S_0$ . The question now is: "there is a (null on singletons) non atomic measure on the subsets of S?", this a old classic question studied by  S. Ulam.
From T. Jech "Set Theory" chap.10 if a such measure exists then exist a 0-1 valued measure by the some conditions above, and this is called a Ulam measure on the set S.
And a cardinal is called "Measurable" if any set S with this cardinality has a ulam measure on all its subsets.
Now a Ulam cardinal is also strong inaccessible but from the Set theory you cannot prove the existence or (no existence) of strong\ inaccesible cardinals (i.e., there are model of Set theory by these cardinals, and others without these).
Anyway A. Tarski proved that the least noncountable stron-inaccessible cardinal is smaller than  the least Ulam cardinal (if these exist).
SSE:
"From cardinals to chaos: reflections on the life and legacy of Stanislaw Ulam"  (search on Google "set theory, existence of Ulam cardinals")
In "Rings of Continuous Functions" L. Gillman, M. Jerison, Cap.12, there is a nice study of these questions from a topological point of view (no Logical set theory foundation aspects), and show that there are a large collections of cardinal that cannot be Ulam cardinal.
A: The existence of such a measure is equiconsistent to the existence of a measurable cardinal, one of the large cardinal notions, and if ZFC is consistent, cannot be proved in ZFC. (See the notion of real-valued measurable cardinal on the Wikipedia page.)
A: Here is some elaboration on Joel David Hamkins's answer.
A (two-valued) measurable cardinal is an uncountable cardinal $\kappa$ such that there is a continuous $({<\kappa})$-additive $\{0,1\}$-valued probability measure $\mu$ defined on all subsets of $\kappa$. To say that $\mu$ is $({<\kappa})$-additive means that if $(X_i)_{i \in I}$ is a family of pairwise disjoint subsets of $\kappa$ with $|I|<\kappa$, then $\mu\left(\bigcup_{i \in I} X_i\right) = \sum_{i\in I} \mu(X_i)$. Since $\mu$ can only take values $0$ and $1$, this is equivalent to saying that (a) at most one of the $X_i$ can have measure $1$, and (b) if they all have measure $0$ then so does $\bigcup_{i \in I} X_i$. (Some people say $\kappa$-additive instead of $({<\kappa})$-additive, but I prefer to use $\kappa$-additive to mean the above for families with index set of size equal to $\kappa$.)
The existence of a continuous countably additive $\{0,1\}$-valued probability measure $\mu$ defined on all subsets of a set $S$ implies the existence of a measurable cardinal. Indeed, I claim that if $\kappa \geq \aleph_1$ is the smallest cardinal such that $\mu$ is not $\kappa$-additive, then $\kappa$ is a measurable cardinal. To see this, let $(X_i)_{i<\kappa}$ be a family of pairwise disjoint measure $0$ sets such that $\bigcup_{i<\kappa} X_i$ has measure $1$ (i.e. the family contradicts $\kappa$-additivity in the only possible way). Defining $\bar{\mu}(I) = \mu\left(\bigcup_{i \in I} X_i\right)$ for every $I \subseteq \kappa$, we obtain a $({<\kappa})$-additive $\{0,1\}$-valued probability measure $\bar\mu$ defined on all subsets of $\kappa$.
So the existence of a continuous countably additive $\{0,1\}$-valued measure defined on all subsets of a set $S$ is exactly equivalent to the existence of a measurable cardinal. However, since a probability measure is also allowed to take values strictly between $0$ and $1$, this is not quite equivalent to the statement you asked about.
By analogy with the above, a real-valued measurable cardinal is an uncountable cardinal $\kappa$ such that there is a continuous $({<\kappa})$-additive probability measure defined on all subsets of $\kappa$. The existence of a real-valued measurable cardinal is equivalent to your statement by a variation of the trick used above.
In 1930, Ulam (Zur Masstheorie in der allgemeinen Mengenlehre, Fund. Math. 16) showed that if $\kappa$ is real-valued measurable then $\kappa \geq 2^{\aleph_0}$, and that if $\kappa > 2^{\aleph_0}$ is real-valued measurable then $\kappa$ is in fact measurable (with a possibly different measure). Ulam also showed that successor cardinals like $\aleph_1$ cannot be real-valued measurable.
In the 1960's, Solovay (MR290961) finally resolved the boundary case. He showed that if $\kappa = 2^{\aleph_0}$ is real-valued measurable then there is an inner model (namely $L[I]$ where $I$ is the ideal of null sets) wherein $\kappa$ is still real-valued measurable and GCH holds, therefore $\kappa$ is measurable in that inner model by Ulam's earlier results. While this doesn't mean that the existence of a real-valued measurable cardinal and the existence of a measurable cardinal are equivalent, it shows that the two statements are equiconsistent over ZFC.
Using forcing (and another result of Ulam), Solovay also showed that if there is a model with a measurable cardinal then there is a model in which the Lebesgue measure on $[0,1]$ can be extended to a probability measure defined on all subsets of $[0,1]$.
A: Joel's answer is the correct one, but in some cases one only needs a finitely additive probability measure rather than a countably additive one, and in this case one can use an non-principal ultrafilter to create such a measure, which would give every set in the ultrafilter a measure of 1 and all the other sets a measure of zero.  Indeed, one important way to think about ultrafilters is as a {0,1}-valued finitely additive probability measure on a set.
A: We can consider S as the unit cube in $R^3$ (by a bijection).
Then by Borsuk-Ulam Paradox, we get an absurd.
Corrections: (1): Is the Banach-Tarski paradox, (2): the (very strong) hypothesis of the invariance for Euclidean translations is excessive.
I'm shamed, excuse me.
