...

I´m creating a moderated list, but I´d like to avoid the automated response to posters advicing that "your email is being held until the list moderator can review it for approval".

In the Auto-responder section of the Administration site I set to "No" the question "Should Mailman send an auto-response to mailing list posters?", but this didn´t work.

Question: Where should I have to look to change this? Do I need to change/rewrite any of Mailman script´s?

It should work, Hold.py line 237:

 if not fromusenet and not mlist.dont_respond_to_post_requests:
     subject = 'Your message to %s awaits moderator approval' % listname
     text = Utils.maketext('postheld.txt', d)
     msg = Message.UserNotification(sender, adminaddr, subject, text)
     HandlerAPI.DeliverToUser(mlist, msg)

Maybe mlist.dont_respond_to_post_requests isn't set properly by the web interface? I'm not very familar with that part of Mailman.

Anyway, if you want to make the change yourself, you just need to comment out the section above.

...or use withlist to set that variable on your mailing list (see the comments at the front of withlist for how to use it)