Hello all,
Thanks for your answers, I didn't expect so many and I'm pleased with that.
As I'm at work I can't give you the specifications of my installation but will try this evening at home.
It seems that there is a large bunch of possibilities for a developper to settle his environment. So I'll give a try at all your suggestions to find the best for me. So be prepared for an other load of questions.

As a matter of fact, I use this winUAE installation as a preproduction environment for all my installations before I carry them out on my "real" amiga 1200.
So it would be great if the the solution worked in WinUAE, and to be honest I'm looking for this vintage feeling too.
I considered too SAS 6.0 or 6.5, I don't remember, but could not find a decent manual at that time. Since I found one in LSD doc, maybe I'll give it an other try.
LamboJay, could you give me a link to an Aztec compiler manual ?
What happened to them ? They're so fundamental, where are they hidding ?
I installed it too but get a problem to make the include directory recognised by the compiler with the environment variable set appropriately. Maybe because I installed it in a "hard disk" (directory in fact) different from the hard disk containing the workbench. And if I recall correctly, I finally ended with the same software failure curse after launching.
By the way, is there any restriction in developping in WinUAE comparing to Amiga 1200 ?