Thanks again for your replies. In fact, the USB keyboard is not and cannot be the problem, not sure I was very clear before. I used to use my MBA only with its own keyboard (no external keyboard plugged). Since I bought it, late december, I had absolutely no problem, but after doing the 10.6.7 update (and I am not saying that there is a relationship), I started having this problem of the Caps (SHIFT key) being locked. This is not all the time, but most of the time. For example today, it worked fine for 5 ours, and then in the middle of the afternoon, the keyboard locked itself in Caps (however, yesterday it was locked the whole day in Caps).
The consequences, despite the fact that I write with caps, are that:
1) minimizing any windows will be done in slow motion as if you press the SHIFT when doing so
2) when I restart the computer it will start in Safe boot mode as if SHIFT was pressed during start up.
3) I cannot select one file, email or folder, but it will select everything from the beginning to the one I clicked on, as if SHIFT was pressed when you select a file, mail or folder.
The only way I am able to use normally my MBA at the moment is by plugging a USB keyboard to it (and I only have a PC one, but this is not an issue). So the USB keyboard is not the cause, but a temporary (I hope) solution to my problem. I am sorry for not being clear enough in my previous post.
I did run a hardware test, I did run the disk utility, did the resets... but still the same problem is happening. I created the Test account, and same thing, when it is locking itself, I will have Caps only on both accounts, as well as on Windows 7 running under Parallels 6.
It is a pity because I love my MBA, which is my first Mac experience... Really annoying though when you are in a small country with no Apple reseller or maintenance center.