Thanks all for your help. The problem was not related with anything that we guessed before. Yesterday, I had the idea to look some permission options in my server. What was missing was just the permissions to be done for the site on the server permissions side. Allowing this in Windows 2003 was what needed to have Modx installed without any problems, at least in my case.
1 - Log in the Server and Go to Programs / Administrative tools/ Internet Information Services (ISS) Manager
2 - On the Left menu Select Server / Web sites
3 - Select the web site that you are installing Modx
4 - Go to the top menu and Select Action / Permissions
5 - On the Security Tab see Group or users names
6 - Give full permissions to (ISERVER\USR
7 - Give full permissions to (ISERVER\IWAN).
8 - Reinstall Modx using the upgrade option.
After these steps, Modx .96 is running nice in my Windows 2003 server. Modx is an incredibly powerful