I try to install any of the application available just like when they
appears on the Installation when you choose a custom installation. You
know what I mean?
Exactly.
It's like you install just Gnome and later you want to add KDE.
Yes, I know.
Now, did you install any updates on this machine after installing FC3?
Do you have a broadband Internet connection? If so, I'd suggest using yum rather than system-config-packages.
# yum groupinstall 'KDE (K Desktop Environment)'
If you don't have a broadband Internet connection, do you have a few spare gigabytes of disk space?
Paul.