Did you change anything in a clean downloaded AS? And do you have any stray log4j jar files in your classpath?
I didn't changed anything and the classpath is empty.
Do I have to check something else?
From what I've seen of the installation instructions in the getting started guide, I would avoid them. The installation steps are really easy (see http://www.jboss.com/index.html?module=bb&op=viewtopic&p=4205258, and ignore step 4 - that's a *nix only step)
But you must have a stray log4j JAR file somewhere. To track it down, set JAVA_OPTS to "-verbose:class" and then run the app server. The JVM will then print out the location of every class file loaded. This should point out the stray log4j JAR file.
cd <jboss_home>\bin set JAVA_OPTS=-verbose:class run.bat