I solve the problem and Arduino it's working both in stand-alone mode and as USB gateway modem.
The antenna is essential; without the antenna a NO CARRIER message appears.
I use a power supply (ps) of 9V 3A first, feeding Arduino board using 2.1mm center-positive plug into the board's power jack.
To the following please consider the figure
Description of the components in the Libelium tutorial
http://www.libelium.com/squidbee/index.php?title=New_GPRS_module_for_Arduino_%28Hilo_-_Sagem%29If you consider the Arduino board oriented so the power jack is at 9h (your left) the shield jumpers are:
voltage jumpers right position - Arduino 5v
******************stand alone mode ***************
1) upload the program, for example lost call (Libelium tutorial)
2) serial com jumpers: left position (Arduino).
Now the sketch lost call may be executed for example, disconnecting the USB cable from computer, disconnect and connect the power jack.
******************USB gateway mode ***************
The only way I was succeed until now to use the GPRS shield as an USB gateway is using an Arduino board without the ATMEGA microcontroler; to work as a gateway, again with the 9v external supply:
voltage jumpers right position - Arduino 5v
serial com jumpers: right position - USB gateway
I use the hyperterminal program with the sets referred in Libelium tutorial.
To begin the comunication press about 2 s the shield on/off button; it appears a PSST message indicating that SAGEM module is ready to listen and execute the AT commands.
*************************************************
Now I 'm using a AC-DC ps with 9V 1000mA with the 220microFarads capacitor recommended in Libelium tutorial; the Windows hyperterminal connection remains stable after several hours.