Well, I first imported the data with SQLyog BEFORE trying to index the tables and only then discovered it had created duplicatas.
I tryed the same exercise AFTER having created the indexes and SQLyog then reports me errors, so some of the rows can't be imported.
I used PhpMyAdmin to create the primary indexes since it appeared simplier to me in case of multiple fields primary key creation.
By the way, that kind of errors worries me a bit concerning the data integrity, huh ?
Thank's for your help