To close that question, as suggested, here is a summary of the solution:

In order to use a custom cdf to analyse Affymetrix array, (for example, after removing unwanted probes or probesets), it is necessary to create a cdf file for example, from a cdf environment from bioconductor, or generated from an ascii cdf file given by Affymetrix.

The package makecdfenv is the end solution, that uses a file properly formatted.

I found 2 solutions to create that file;

The easiest is using a program from Array Initiative (http://wellerlab.uncc.edu/ArrayInitiative/index.html) :

Taking the ascii cdf file originally proposed by Affymetrix as well as the corresponding probe file, the program produced a dat file that your can then filter out of the unwanted probes and probesets. after reloading in ArrayInitiative the modified dat file, the program output the modified ascii cdf file, that can then be used to produce a package with makecdfpackage from makecdfenv, or directly produce with the same package an environment usable in the subsequent array processing. This solution worked perfectly for me.

For a more detailled procedure, there is a step by step tutorial at : http://wellerlab.uncc.edu/ArrayInitiative/tutorial.html

Since then, I found another solution given at aroma project : http://www.aroma-project.org/node/41 This solution that I briefly tested uses env2Cdf, an undocumented function from aroma.affymetrix package. It seemed to work; the cdf file produced is a binary one.