I have installed both the ckeditor module and the ckfinder plugin. They work fine. So far so good.
The problem is that I have ckfinder plugin inside the ckeditor module folder (sites/all/modules/ckeditor/ckfinder). Then every time I update the ckeditor module I lost the ckfinder plugin.
I'm sure that there is a way to put ckfinder inside the libraries folder instead but I don't know to do it in the right way.