Thanks for your response!
It was:
[ERRNO 2] No such file or directory: tools/gyp_cef
Now, as I noticed the last changes on the java-cef repository I started all over again, now when I run step 5 (download third-party dependencies) it finishes off with this error:
Error: Command git -c core.deltaBaseCacheLimit=512m fetch origin returned non-zero exit status 128 in C:\java-cef\src
Warnings:
Conflicting directory C:\java-cef\src moved to C:\java-cef\_bad_scm\srcqrveii.
I really don't know how to proceed with thise, I really appreciate your help