I just created a view to show terms of a given vocabulary. I works but the children terms aren't shown.
How do I do to get children terms?
Depending on how many levels of the tree you want to show. If entire, complex vocabulary, then Views Tree module would be an answer.
This module provides a tree-based style plugin for Views.
However if this is just a 2-level tree, you might want to set up a view that displays terms and groups them by their parent. For that you'd need to select also Term: Parent, exclude it from display and group the view by Parent.