Well, then only solution I found was delete it. Maybe the address will be available again in 60 days.
I wasn't able to do anything on it, so I had to use a little hack:
- Logged to my main passport account, I waited for the "Space temporarily unavailable" message
- I trimmed the URL in the address bar, up to, but not including my alias, and added "/SpaceSettings.aspx" to it. I was able then to click on the "Delete this Space" button.
My hypothesis is that when I created the site, it was to early and not everything was working well. Hence, some critical files weren't copied to the right folder, including "PersonalSpace.aspx". However, some pages were copied, like "SpaceSettings.aspx", "ThemeSettings.aspx" and "PermissionSettings.aspx".
So I was able to delete it, only because I was lucky and I got access to "SpaceSettings.aspx". Otherwise I would have needed to figure out a way to run "SpaceDelete.aspx".
Besides, I never received further news from MSN Support after the email from Abraham saying that they were working on MSN Spaces to make them work for everybody. Maybe they are too busy chasing bad words ;)
UPDATED 12/08/2004: I received a message from Blas at MSN Spaces support. It is a little bit late for him to help me, but I maybe I could still help others by describing to him the symptoms I experienced and my hypothesis on how the problem occurred.