Hi Rajesh,
Thank you for your response. I actually figured out what was going wrong.
The thing is that I was sending the emails as "Email Sample" from my marketing campaign (Click on the Email- Send Sample). That seemed not to work.
Afterwards, I went to my lead list and tried to send a specific email (the same I was sending before) to a contact (myself) and it worked! My name appeared in the web reporting page!
It was just, that you must not send it as a Email Sample but a "normal" one.
Anyhow, thank you for your time. Hope it will be useful to more people!