MS CRM 4 DMM (Data Migration Manager) as I mentioned in previous posts is quite demanding regarding its installation and configuration.
I finally managed to get it working on a client computer but for that I had to let the DMM's installer to also install a local instance of SQL Server Express. Everytime I tried to use a remote SQL Server 2005 instance he gave me troubles with permissions. So I decided to let him create a local database and now it's finally working. Although this is not the configuration that I desired for testing purposes it will have to do.