Okay, some additional infos here.

First, I thought to use transistors for the high-power LEDs because I have to drain more than the acceptable 20-25mA a PIC can hold.

Yes, the circuit is +5V powered.

Acetronics, I will try with diodes but, if this works, I will have to add 30 diodes to the circuit!!!! (c'est pas une question de poids.... mais ça fait du monde sur le PCB ).

BrianT, you may be right: I'm an electrician, not an electronician so I don't "master" those kind of Z-state subtilities and don't really know how to handle them a correct way...

RussMArtin, I need to light the LEDs separately, never simultaneously.

If my way of doing (thinking) is completely wrong, how would this kind of problem be resolved in an industrial environnement? Would they just use a 20 I/O ports PIC?

Finally, I ask myself if this can be done ... or not?