OK, it was my first time, I thought it is a pretty straightforward thing to do, but it looks as if there is a very small friction between the pads and the disk when I'm not pressing the brake pedal. At high speed 40+mph I can hear it.
I used white grease between shim and pad. I did like the mechanic, after removing the two pins, I used a pair of plier to push back the old pads in order to create space to insert the new one as they are thicker and wouldn't fit otherwise. I did not remove liquid from the brake system.
Any help/suggestion would be greatly appreciated.
P.S. I even removed the wheels a second time to have a look and tried applying some white grease on the pins hoping it would make the sliding of the pads easier.