It's my NT workstation which was 'out of order'.
On my second NT workstation, it works well.

I don't understand why on the first workstation the command 'mycomponent.exe /REGSERVER' seems to work, but no keys are added in the registry. !?!
It's the same problem with my DLL (an another component). This way the command 'regsvr32 mycomponent.dll' add the keys in the registry but the script still don't work.

So I think i must scratch my machine and reinstall NT.

Thanks again.