After 2 day of trial and error, I found out the hard way that the swedish tutorial at sweclockers.se was totally wrong ( http://www.sweclockers.com/forum/14-natverk-och-uppkoppling/889984-bygg-din-egen-router-med-pfsense/ ).
In the tutorial it was said to do the LiveCD configuration first, and that didnt work at all, the installation program halted I never got passed selecting the LAN interfaces.
Finaly after 2 days of trying to follow the tutorial I gave up and did the totally opposite of what the tutorial said, and formatted the drive and installed the software to the harddrive first, and then I ran the LiveCD and everything went like clockwork.