Fellows, thanks for the help
Actually I had run Orbiter several times, without any problem.
But I'm running Vista, and after a few tests, I found out that even granting all kind of permissions to the Orbiter folder the files were not created because my Orbiter folder was inside the Program Files directory.
I did a new unzip to another Orbiter folder placed in "Documents", launched Orbiter Launch Pad and voila ... the magic worked.
Conclusion: In Vista never put your Orbiter folder inside "Program Files"
vista... 
