Modify the PWM Output frequency.

I've read the "Fast PWM" topic on http://arduino.cc/en/Tutorial/SecretsOfArduinoPWM , but it's now working. I'm still having the same frequency on pin 3: 500 Hz.

It says "...setting the waveform generation mode bits WGM to 011 selects fast PWM. Setting the COM2A bits and COM2B bits to 10 provides non-inverted PWM for outputs A and B. Setting the CS bits to 100 sets the prescaler to divide the clock by 64. (Since the bits are different for the different timers, consult the datasheet for the right values.)...". This is executed by the command lines listed below that or I have to put other commands? Which commands?

You stopped reading too soon. It also says,

Varying the timer top limit: fast PWM
Both fast PWM and phase correct PWM have an additional mode that gives control over the output frequency.

This part of the tutorial specifically addresses changing the PWM frequency.

Have you seen this one yet.
http://playground.arduino.cc/Main/TimerPWMCheatsheet