PITA – 1 : Couldn’t find constant VHOST

Today I was trying to install the latest version (2.6.2) of multiuser WordPress on one of my domains, I copied the files in the root directory, browsed the url and got this PITA:

Couldn’t find constant VHOST  … path/wp-settings.php on line 33

which eventually reads

if( constant( ‘VHOST’ ) == ‘yes’ )

I tried to get the solution on net, on wpmu forum http://mu.wordpress.org/forums, and on other forums, I got some stupid replies none of them could get it solved, the only thing which worked was the using a different version of WPMU, an older one.