Hi Arakasi
Thanks for your answer. I am quite sure it is not another program as it started at the day I installed Eset and it happens with many applications on two different PCs.
I have one case though that allows me to reproduce the behavior 100%:
HIPS is set to Interactive mode Start Steam From Steam start the game SPAZ (Space Pirates and Zombies) Whole System Freezes !!
After trying and rebooting for quite some time I did this
Set HIPS to Learning Mode Start Steam Start SPAZ --> There you go, the game starts AND Eset creates a rule for it !!!!
From then on the game works all the time, even in interactive mode. So this really looks like ESET does not prompt me for the rule. There is no other rule associated to that application.