now the problem is that the motor doesn´t wants to work, all has been connected the right way.
the only thing he does, is shaking a little bit, but not turning or stepping like he has to be.
maybe the stepper is to high to make it turn with the arduino, but i am not sure.
You didn't mention what type of power supply you were using, but you should never try to power an Arduino and any motor with the same power supply. In any case, that low voltage, high current motor won't work with the motor driver you bought, and Velleman should be taken to task for false advertising. That motor driver will never support 2.5 amps per output.
I would recommend the DRV8825 or A4988 motor drivers from Pololu Pololu - Stepper Motor Drivers You will probably need to set the current limit to 1 amp per phase for reliable operation.
Use the jumper to select the 4 pins you use (2 for each coil)
I believe the power jumper should be 'external'
Check datasheet for your motor. Is it 3.6V ?
EDIT (after studying datasheets)
42BYGHW804 (3,6V) cannot be controlled due to the low voltage
42BYGHW801 (its brother) is no problem as it runs from 12V
new stepper ? (eg from a faulty printer)
Welleman website have example software.. get it. (its free)
Its a 3 ohm motor, use a chopper driver only, such as A4988, an H-bridge is a mistake
here. If the motor were high-resistance (20 ohms+) then an H-bridge would be feasible.
Something like 12 or 24V supply is recommended - chopper drives work best from
high voltage. They work by controlling the current using the motor as an inductor
to do buck-conversion, thus wasting very little power and allowing high speed motor
operation.