BUT I dont know how can I send commands back into the arduino from my Internet explorer to set some parameters inside the arduino and create for example a config file in the SDCard ... like a config file to then the arduino process acroding to it.
The page that is served up needs to contain a form with one or more submit buttons and an action field. There is nothing about that is Arduino-specific. So, you should be looking at some other site to learn how to define forms, and what happens when a submit button is pressed. I like http://www.w3schools.com/html/html_forms.asp