Finally I just installed Miktex 2.1 and modified texexec.rme and set the appropriate paths and context is working! Thanks to all for your help. I have an additional question: what are context-aware editors that people are using under M$ Windows? Looking in the archive and the net, it seems that some people use emacs and there is a mention to Texwork. Is the latest an editor to use with context or something else? I couldn't find any documentation about its use.