Hi Fou,
Welcome to YamahaSynth.

Unfortunately when I connect the USB cable to ModX, I listen the "connect sound" from the speakers of my PC, I also see for one-two seconds the usb icon on ModX screen converting form dark to light and then again to dark, I listen the "disconnect" sound and nothing..... No connection.....
It looks that the connection hold for only two seconds.

There is really no need to proceed farther than this because you need to start with a proper configuration. First, you will not be using the computer speakers at all. The sound of the MODX will be delivered to the Main L/R Outputs on the back panel and to the Phones jack (either connect the Main L/R Outputs to a quality stereo sound system like a pair of Studio Monitors, or you can use a pair of headphones connected the Phones jack.

The whole purpose of the Yamaha Steinberg USB Driver is establish a solid communication connection between the MODX, which will now act as an Audio and MIDI Interface, and the computer. The driver will take over audio duties for your computer delivering that audio (via USB) to the MODX. The computer’s audio will be returned to the MODX via USB. The MODX will convert Digital-to-Analog and send audio (not to your computer speakers but...) to the Main L/R Outputs and Phones Output of the MODX.

Please stop uninstalling and reinstalling items, obviously, that is not yet even indicated as necessary... and only adds to your frustration.
If you are expecting things to work, you want to be listening to the right device. If you have no speakers connected to the Main L/R Outputs of the MODX, you will not hear the MODX, even if configured properly.

Let’s start with troubleshooting the USB connection.
On the MODX front panel there are icons across the very top of the screen. Next to the icon of a keyboard is your MIDI connectivity icon. It should be showing either a USB icon or a 5-pin MIDI icon. You actually want to see a bright blue USB icon.

[UTILITY] > “Settings” > “MIDI I/O” > Set “MIDI Input/Output” = USB (green).

If the USB icon on the top line is not bright blue. STOP. There is no need to go any farther in the setup steps until we can see the MODX and computer are connected. If the icon is dark or flashing, you have an insufficient connection (nothing else will work)

Let us know.

Thank you for your answer.
I have already set “MIDI Input/Output” to USB, that's way I can hear the "connect" sound and see the icon on the ModX screen lighting foe 2 seconds.
I really can't understand all this about the Audio connections and PC speakers since the only I try to do here is establish a MIDI connection, not an Audio I/O connection !

The only I have to test is unplug my sound card since from what you mention I have the impression that it is not possible to work with ModX and another sound card the same time (althoug this sounds a little bit strange.. I was able to work with two audio interface ion the past, but anyway...)

Maybe my misunderstanding start because I try to connect the ModX and use ONLY the MIDI part of the connection.
For now I solve the MIDI connection problem using an old MIDI interface.
It take ages to receive the data from ModX but it works....
So I have to complete the urgent tasks I have in front and then I will try to reconnect via the USB host, after removing the Audio Interface.

Thank you for your answer.
I have already set “MIDI Input/Output” to USB, that's way I can hear the "connect" sound and see the icon on the ModX screen lighting foe 2 seconds.

The USB icon needs to turn bright blue and stay that way (for more than 2 seconds) it needs to be steady. Am I clear?
Nothing will work without this indicator.

I really can't understand all this about the Audio connections and PC speakers since the only I try to do here is establish a MIDI connection, not an Audio I/O connection !

MIDI makes no sound, you need audio to hear. You will not be using the computer speakers nor will you be using the computer soundcard/audio interface. The MODX takes the place of these and the MODX outputs the sound.

You cannot hear MIDI. Since you are simply using the John Melas Editor, you need to setup the MIDI Ports In/Out to MODX Port 1
You only need to connect the analog Outs of the MODX so you can hear your edits.

Sorry but maybe you don't read all the details of the original message or I don't express the problem the right way since English is not my main language...

First of all: Of course i know that the icon must remain bright. I mention that, due to a problem doesn't stay . This is my problem... I really can't understand why you have to mention that "icon needs to turn bright blue and stay that way" I know that, my question it is not if the icon needs to stay light, my question is why doesn't stay light...

Second, I know that MIDI doesn't make any sound and my question has nothing to do with "MIDI sound" !!!!!
I try to transmit data !!!!!!!!! Data from my PC to my ModX, not sound !!!!!! There is no reason to lecture about speakers connection, sound outputs etc. etc.
I'm trying here to transmit and receive DATA !!! NO sound !!!!!
I don't expect to "hear MIDI", I'm trying to transmit and receive DATA !!! Not sound!!!!

First of all: Of course i know that the icon must remain bright. I mention that, due to a problem doesn't stay . This is my problem... I really can't understand why you have to mention that "icon needs to turn bright blue and stay that way" I know that, my question it is not if the icon needs to stay light, my question is why doesn't stay light...

Yes. This is a bit of a language issue. You mention that you are installing and reinstalling, many, many, many, many, many times... I am trying to impress upon you. DO NOT BOTHER. until you solve the issue of why the USB icon does not stay bright blue, you can STOP installing and uninstalling and reinstalling.

Likely a physical problem:
Could be computer USB Port
Could be USB cable
Could be USB Port on the MODX

Eliminate any adapters. If it worked at one time then you have you first clue.
It is likely NOT the installation of the Driver. You can look into Windows... it will tell you if the Driver is installed.
CONTROL PANEL > SOUND >
No bright blue icon, no physical connection between the Synth and the computer.

If the lamp has no light bulb, no matter how many times you turn the switch on and off, and on and off, it’s not going to work.

Nothing is perfect, but I'd suspect your USB cable first since it's the easiest to swap and then your computer's USB port 2nd because it's easy to swap if you have more than one.

A bad cable can over-current or lose connection. A bad port could do both as well. A badly designed port with sub-standard power delivery could also be a problem when moving to a different port if the power delivery is shared. It shouldn't be this way - but it does cost (the manufacturer) to make things correctly.

This is unlikely, but an aggressive power savings/sleep policy for your computer or USB port(s) can cause USB connections to "spontaneously" go away.