Now it is clear the problem is my CF image.
I got now a serial cable too and while booting, it stops in the very beginning at the word CRUB. I use ZeroShell-1.0.beta11-ALIX-CompactFlash-1GB.img.gz the same happens with my PC. With my PC, the CD image ZeroShell-1.0.beta11.iso works OK.
Copying of the CF image with dd seems OK.
What to do?