|Thanks for replies !|
Richard59 is right in my case : when the first reboot happens, it boots from the hard drive.
Meanwhile I tried tweaking the bios and different settings of the IDE (32 bit transfer disabled, LBA Mode off).
The difference is that now, on the second reboot, I have a message instead of the blinking cursor. It's in french, but it says more or less that Windows cannot start probably because of a hardware issue.
I will try to install the motherboard driver during the first setup process as you suggested.
Most of my first problems were due to a wrong setting of the IDE Master/Slave, and hard drives priority boot is cleary important to check.
I forgot how long this process of installing a computer can be when you are a big noob ;)