Hi Stephane,
I'm not familiar with the SigmaStudio for SHARC tools specifically, but looking at the Algorithm Designer PDF, it suggests that these modules require custom LDFs to generate the dynamically loadable modules. Because you are using a CCES System-Builder Generated LDF in your project, it is linking in the C Runtime Library, which in turn requires a 'main()' function as an entry point.
Take a look at chapter 4 of the "SigmaStudio_for_SHARC_AlgorithmDesigner.pdf" document which, although it is part of the SigmaStudio for SHARC distribution, is copied to the ...\SigmaStudio 3.7\Help\ directory.
Regards,
Craig.