@azn_david: Actually, In his case, he doesn’t need the setup class at all.
@Carlos A.: I would recommend AGAINST putting your module in the same namespace as the core. You currently have /app/code/local/Mage/modulonuevo you should have that in your own namespace. For instance /app/code/local/MyCompany/MyModule is the common example you’ll find on the forums. David’s suggestion is basically correct, however, I have personally started using this form instead
Then I put the install scripts (mysql4-install-x.x.x.php and the like) in /app/code/local/MyCompany/MyModule/sql/MyConpamy_MyModule/
Doing it this way, you get an entry in the core_resources table that has your module name, MyCompany_MyModule, instead of mymodule_setup.