I'm sorry for late but I was dealing with other tasks.
Thanks for the suggestions, this one worked for me:

http://www.shorewall.net/MultiISP.html#Local.

But now, I have another situation. The openvpn is connecting and 
working, the packets come IN and OUT from the same eth0 interface. With 
the Shorewall started, the TC is blocking the traffic from the DMZ 
servers to the Road Warrior client.
I'll explain better. I have a DMZ called "dweb", and two ISP providers, 
both on the "net" zone. I have also some tcrules to mark and regulate 
some traffic. When my Road Warrior connect to the openvpn server on the 
Firewall and he start a Ping to a dweb server through eth3 interface, 
the packets reach the server but the icmp replay are catch somewhere in 
TC on the way back. I can't understand why. If I comment out the 
"1:P     eth3            0.0.0.0/0       all     -" rule in tcrules and 
restart shorewall, the Road Warriors can reach the "dweb" server as wanted.
Thanks for any suggestion.

Here are the configuration files:

providers:
############################################################################################
#NAME   NUMBER  MARK    DUPLICATE       INTERFACE       GATEWAY         
OPTIONS         COPY
EU256   1       1       main    eth1                    62.94.175.33    
track,balance   eth2,eth3,eth4,eth5
EU512   2       2       main    eth0                    83.211.196.65   
track,balance   eth2,eth3,eth4,eth5
#LAST LINE -- ADD YOUR ENTRIES ABOVE THIS LINE -- DO NOT REMOVE

tcdevice
###############################################################################
#INTERFACE      IN-BANDWITH     OUT-BANDWIDTH
eth1            2000kbit        2000kbit
eth0            2000kbit        2000kbit
#eth1           1000mbit        1000mbit
eth3            1000mbit        1000mbit
#LAST LINE -- ADD YOUR ENTRIES BEFORE THIS ONE -- DO NOT REMOVE

tcrules
###############################################################################
#MARK   SOURCE          DEST            PROTO   DEST    SOURCE  USER    
TEST    LENGTH  TOS
#                                               PORT(S) PORT(S)
1:P     eth2            0.0.0.0/0       all     -
1:P     eth3            0.0.0.0/0       all     -
#
3:F     eth1            192.168.2.203/24        tcp     22
# FTP per SMS
2:P     eth3:192.168.2.203      0.0.0.0/0       tcp     20,21
#
#LAST LINE -- ADD YOUR ENTRIES BEFORE THIS ONE -- DO NOT REMOVE

tcclasses
###############################################################################
#INTERFACE      MARK    RATE    CEIL    PRIORITY        OPTIONS
#
eth3            1       500kbit full    1       default
eth3            3       500kbit 1500kbit        2
# Ftp per SMS
eth0            2       200kbit 1500kbit        1       default
#
eth1            4       500kbit 1500kbit        1       default
#
#LAST LINE -- ADD YOUR ENTRIES BEFORE THIS ONE -- DO NOT REMOVE




Tom Eastep wrote:
> Daniele Davolio wrote:
>   
>> Hi,
>> I sent the "shorewall dump" as attachment but Admins rejected it because 
>> it's ~95Kb.
>>     
>
> You can always forward it to [email protected].
>
>   
>> Anyway, I'm wondering if I can Tag UDP packet from the Firewall to drive 
>> them through always the same interface, and how :)
>>     
>
> Possibly you should read about OpenVPN on a multi-ISP firewall at
> http://www.shorewall.net/MultiISP.html#Local. Also, the subject of
> marking packets that originate on the firewall has been recently
> expanded at both http://www.shorewall.net/traffic_shaping.htm#tcrules
> and at http://www.shorewall.net/manpages/shorewall-tcrules.html,
>
> -Tom
>   


-- 
==============================================================
Daniele Davolio
Master Training S.r.l. - Information Technology Department
Sede Legale: via Timolini, N.18 Correggio (RE) - Italy
Sede Operativa: via Sani N.15 (Int.6) 42100 REGGIO EMILIA (RE)
Tel +39 0522 268059 - +39 0522 1846007
Fax +39 0522 331673
E-Mail [email protected]
E-Mail [email protected]
==============================================================


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