After a long research and many tests I found that the final solution is to make a full and clean Windows install.
I did a clean install on a virgin virtual windows and everything works.
The typical installation method for Adobe products consist in uninstalling the previous version and then installing the new version, but again like CS3, there are many problems (if you remember the CS3 Clean Script).
In Mac OSX there is no problem upgrading, I did an uninstall of the CS3, and an install of CS4 and everything works great!
I already try uninstalling and reinstalling many times, I lose the count, and I also try the CS4 Clean Script which doesn’t work, so the current solution is to expend your weekend making a backup of all your disk, installing a fresh Windows copy, and then the CS4. (if you have another computer, you can just move all the folders on the C: drive to a backup folder in the same disk “c:\backup\” and then install windows, save a lot of time).
I recommend a x64 system, like VistaX64 or XPx64. For Photoshop x64 to use more than 4GB ram. (Right now OSX is x64 if you have a x64 processor, but because Apple don’t want to make Carbon for 64bits you will have a Photoshop 32bits, lol.)