Thank you guys!
Even if it's still a bit confusing for me to configure paths (some of them don't appear in the path although they are active ), you solved my problems. I installed yesterday "Pd-0.40.3-extended-20080307-windowsxp-i386.exe" from http://autobuild.puredata.info/auto-build/2008-03-08/, and that's great, even pmpd works properly, I just add Gem.dll because it wasn't there, and apparently it works fine.Thanks again! Delphine