Hi , fernandoborges1
Is this a first installation ? Are you using an account with admin rights to install the Any connect client ?
AnyConnect requires an account with Admin rights for first installation !
Did you download the Anyconnect installer directly from Cisco.com or you're downloading the Anyconnect from the ASA ?
In case you're downloading the Anyconnect from the ASA (through webvpn ) , please check if it may work with other browser. Check the java version and if it is enabled on the browser.
Also (assuming you're running windows ) you can check the event viewer on the local PC or download a debugging tool for Microsoft to see what's going on.
I hope this help or give you an idea of what's going on. 
Regards ,