Paulo,
Try this. After you run fill sinks and get the error. Refresh the catalog and see if the fil layer is there. It just might be!
To refresh the catalog in v10, right click on the folder and choose refresh. You may need to do this twice. When I do it, I sometimes see three files with the layer name the first time, and the second time I see the layer with the proper file type icon.
In my Arc Hydro experience, I've seen this happen at one time or another in most of the processing steps that result in rasters (fil, fdr, fac, str, strlnk, cat). Though I get an error message, the rasters are created anyway. I refresh the catalog to see if they are there (sometimes refresh twice). If they are, I right click on them, choose properties, and define their geographic projection (just in case it matters).
Also, if you run the fill sinks function and get an error, some, but not all, of the files used for the fil layer might have been created. Trying to run fill sinks again without deleting these files might cause an error. I sometimes work through Windows Explorer to make sure there are not "left over" files from these tools.
Hope you figure it all out.
Mark