Thanks for your answer. I had done everything you listed several times with the
same negative result. Then after your asnwer I tried it again (just clicked
again on the "finish" button) and this time it worked. The only thing that I
noticed is that the last time I didn't restore my proxy preferences in IE7
before downloading the site... can this be the reason?
Now I need a suggestion. How can I do the same by using a command line version
that would allow me to use differents user/password pairs? (one of every
single user of my site)

I'm using winXP.

Thanks for your help

Stefano