I have 2 hard disks installed. On the first, partition (C: ) contains Windows, the second (D: ) is empty. The second also has 2 partitions (E : and F: ) that are also empty. All partitions have been formatted as FAT 32.
Any idea what's going wrong ?
Yup, I got a pretty good idea.

Here are a couple screencasts on how to partition for linux. The screencasts where done on VL6.0 gold, if you are using a different version, you could download vl6.0 gold and just use the gparted tool.
Partitioning for a linux installationPartitioning for a linux dual bootThe screencasts do not fit your scenario entirely, but they should get you a little more familiar with partitioning for linux.
In your situation I would leave the first hard drive alone, leaving windows untouched. You are going to have to set up the 2nd drive with at least a / (or root) partition and a swap. Once you have those two set up, you should be able to install from there.
I'm assuming you are installing VL6.0 gold. Let me know if you are installing vl6.0 light because the partitioning tool will be different, but the principles the same.
Oh, and welcome to Linux, I think you will grow to like it here.
This may help as well. It's a YouTube video of vl6.0 gold install.
http://www.youtube.com/watch?v=-l_X90fKOE8