Well, the problem has been solved: the automatic protection hadn't been activated after instalation and I had to do it by hand.
ESET salesman gave me the solution within 3 hours of my email: in Advanced Setup / Computer / Antivirus / Real Time check Start Real Time File System Protection Automatically.
This is a bug. If you install an antivirus, you expect it to do it's work automatically. Only cause I can think of is that being installed on a very fresh Win8, the security updates have somehow overwritten ESET's settings.