Thanks Davin.
Yes, you're right, when I set mode off, then a new world appeared to me. ;)
The problem was the connection. Because I tried to connect to another SQL Server, I suppose that some installation task is trying to copy "mdf" file to some place in my PC, but the correct place is on the SQL server.
Now I'm installing SQL2005 on my PC and then will try again. Thanks for your help.
Charly