Hello Gabriel,
Have you been been able to successfully run any of the demo models that come with Arduino Run on Target Hardware? Depending on which release you are using - I can let you know how to get to the demos through the documentation.
From your description - this happens when you try to reconnect external mode and a model may have been changed or completed. When you first build a model it may run correctly - but may stop due to the simulation time being less than 'inf'. But things should be functional if you select Tools-> Run on Target-> Run - do they for you?
Also - please confirm which blocks you are using. You have mentioned you are interesting in data acquisition. There are two different solutions that work with Arduino: http://www.mathworks.com/academia/arduino-software/
Primary difference is an interfacing option which treats the Arduino as a data acquisition device and only passes information back and forth (works with both MATLAB and Simulink). And a Programming solution where algorithms (created in Simulink and MATLAB) can be programmed on the Arduino in an automated way to execute independently. The two pages referenced above discussed each in more detail.
Hope this helps. Dan
