First of all I'd like to ask if on servers usually openssh is used with PAM support or not. And if yes ...could you indicate me a good guide for the installation (I need a bit detailed instructions on the PAM issue, as I don't get it well). Thanks.

Usually, I'd say not, as most OSs don't use PAM. Most Linux OSs use PAM. PAM stands for Pluggable Authentication Module. If installed, it handles most system user based authentication, so programs that require user based authentication will make system calls to PAM to authorize that user.

If your system uses PAM, you'll mostly likely want to enable pam when configuring OpenSSH.

./configure --with-pam
make
make install

A good guide on installing openssh is the "INSTALL" document that comes in the OpenSSH tarball. More documentation is available at http://www.openssh.org

Actually I'm trying this on a Mandrake 8.2 system on which I think PAM is installed if I judge from the fact that in the /etc there is the pam.d folder and it's not empty. I have tried configuring Openssh --with-pam but I at the end of the configure process I get a messsage error : PAM headers could not be found (something like that). On the site opennssh.org and in the INSTALL file that comes with the tar.gz file of the Openssh I wouldn't say that there are many explanations on the PAM.

You might just try installing the RPM from MandrakeSoft.

Isn't OpenSSH compiled with PAM? I don't think you need the --with-pam