Ok, the problem is solved!
In fact, during the installation procedure, you can choose to use the [b]"SQL Server Authentication"[/b] to connect to the SQL Server, than you must use the [b]SQL Administrator User [/b]or normally the [b]"sa" user[/b].
So, when you use the "sa" username with his password, the installation procedure creates the DB without any problem.
For me, that was the way to resolve the problem.
I will thank the whole support team from Mono Software because they assisted me very quickly to help finding the reason why the installation procedure was giving me the Fatal error. Now MonoX CMS is running without problems now.
I never found such a good support with very expensive software, so that's a good point for Mono Software!
[i]Thank you very much.[/i]