Hi Emanuel,
I would not use Minify in Auto mode, this is where I experienced the most problems when I first started using W3. Also did you check the install section under W3 to see if there was anything missing that was necessary for proper plugin operation. The rewrite rules are critical. If not then change the write rules to htaccess and wp-config and try again or hand modify the files as described. W3 must be able to change htaccess and add some files elsewhere under wp-config.
Hope that helps