I found the solution
1. Export AnyConnect Template in "Language Localization" part (put .po extension)
2. Open it with Gettext
3. Translate messages you want (there are a lot ^^)
4. Save it (you may have errors if you don't change informations in setup)
5. In the folder where you have .po file, a .mo have been created. Rename it AnyConnect.mo and copy this file on the client computer
Windows XP:
%ALLUSERSPROFILE%\Application Data\Cisco\Cisco AnyConnect Secure Mobility Client\l10n\\LC_MESSAGES
Windows 7:
%ALLUSERSPROFILE%\Cisco\Cisco AnyConnect Secure Mobility Client\l10n\\LC_MESSAGES
Create the folder if needed
It should work