I've finally found the problem.
Check the SQL scripts with SQL Server Query Analyzer. Scripts for the version 4.5.1 have a bad stored procedure definition. But a newer definition can be found on script version 4.5.3 (or another).
I've simply deleted the bad stored procedure on the 4.5.1 script, and running the script.
Please note that other errors exists, on the constraint check. Manually runs script, verify with SQL Management Console that the constraint already exists, delete them on the script and re-run the script.
One or more scripts want to change the datatype of fields. If your table is empty, you can modify the datatype manually and delete them on the script.
Finally, run InstallWizard.aspx. If no portal have been defined on the database, modify the InstallWizard.aspx to starts at step 4. Then, the wizard tell you about admin account, portal information and initialize the database.
It's hard to do, but now my DNN works fine.