I finally manage to let it work.
I was confused with the explanation of http://hlt.media.mit.edu/?p=1695
using the bootloader stuff (still unclear for me and I will try this later), and I have missed some details not obvious for me like:
Loading de Arduino ISP selecting as board Arduino UNO, this WITHOUT the RESET capacitor/resistor, then
ADD the capacitor/resistor and then load the wanted sketch after selecting the Attiny85 1MHZ as board.
Practically the sequence is the following:
1. Connect the Arduino UNO with the serial interface via the USB cable (ATtiny already connected as describe by the URL above) but without 10uF capacitor between GND and RESET
2. Ensure that the board selected is the one for the Arduino (my case Arduino UNO) menu Tool>Board>Arduino UNO
3. Upload the Arduino ISP sketch from the menu File>Examples>ArduinoISP
4. Add the capacitor between GND and RESET
5. Select the ATtiny model with the default clock 1MHz (my case Tool>Board>Attiny85 (internal 1MHz clock))
6. Select one sketch to upload (e.g. File>Examples>01.Basic>Blink)
7. Change the settings according to the pins of the ATtiny (e.g Pin 13 becomes Pin 0>
8. Upload the sketch (rmk: File>Upload or File>Upload using programmer, makes no difference)
9. An in this case a LED connected to pin 0 of the Attiny should blink.
Thanks to all,