I coudn't discover the php that creates that or must i deactivate it in the Site admin?

You will need to make use of your own callback for wp_list_comments() - take a look at Twenty Ten's comment callback twentyten_comment() for example.

You will see a line something like

<?php if ( $comment->comment_approved == '0' ) : ?>
    <em><?php _e( 'Your comment is awaiting moderation.', 'twentyten' ); ?></em>
    <br />
<?php endif; ?>

You can virtually copy twentyten_comment() to your own theme, getting rid of the block of code above, after which using wp_list_comments('callback=my_comment_callback') in comments.php.

  1. Download and Install Notepad++.
  2. Open Notepad++
  3. Hit "Control-F" to obtain a Find dialog.
  4. Switch to the Get in Files tab ("Control-Change-F" might shortcut you here).
  5. Alter the filter to *.php
  6. Alter the place to your wordpress folder
  7. Make sure you have Search in Subdirectories enabled.
  8. Look for "Your comment is waiting for"