Hello Riccardo and thanks for answering,
Make is configured in "References…", the "External Build Tool" has his value set (by me) to : C:/GNUstep/msys/1.0/bin/make.exe
I do see the files compiling in the Log Panel.
I also see the output of my "helloworld" first app in the Log Panel. It's not an "application" kind of program but a "Tool" one.
I can see the executable (named "app1.exe") in the Windows file explorer, under the directory "obj".
I actually launch the ProjectCenter from the gnustep shell (since it has been installed with "svn co http://svn.gna.org/svn/gnustep/apps/projectcenter/trunk
", followed by "cd ProjectCenter", "make", "make install", there's no other way than launching it from the shell, since there are no shortcuts in the Windows menu referencing it).