Why does my NXT does not setup correctly ?

This is probably because of the setup directory. Please check that you install the demo in the Microsoft Robotics Developer Studio (MSRDS) folder. This folder depends on your versions of Windows (XP, Vista) and MSRDS (Express or not).

My newly created service doesn’t appear in the list when I try to add it

Robotics Studio manages a cache for service information. To force refreshing the cache, just delete the contractDirectoryCache.bin file in store\cache folder in you robotic studio installation folder. Your service should appear the next time you launch the application.