Thanks a lot Stan.
I have known done a clean install of Ubuntu 11.04 (the distribution recommended by AMD).
I have tried several combinations of AMD-APP (2.7 and 2.8) and Catalyst drivers (12.4, 12.10 and 13.4).
AMD-APP 2.8 (the latest version) is the one responsible for dgemm not working. It works for SDK2.7 and Catalyst 13.4 or 12.10.
SDK2.7 only allows to get 2/3 of the power of the GPU to be used.
Regardless of the versions of SDK or Catalyst drivers, my sample program still gives a segmentation fault at the same place.