Hi Norton,
In fact, the Slicer error log does not show any type of error when I tried
to load my data, however, only the first volume is shown. My data is
actually a series of 3D volumes concatenated through time (3D+t), as
usually applied in fMRI datasets. A similar behaviour is found when I try
to load a raw DTI data (1 b0 volume and N gradients in FSL format, i.e. one
nifti file, one .bval and one .bvec text files). If I load only the nifti
file from the 4D DWI, only the first volume appears in the scene and no
errors are shown.
Fortunately, in DWI-DTI cases, there is the SlicerDMRI module that deal
with the conversion from FSL data to Nrrd files. That’s fine. However, I
have not seen anything similar to fMRI-like dataset conversion, i.e. only a
series of 3D volumes through time.
I’ve also checked out the modules that you commented before, but it seems
that is not exactly what I am looking for here. Maybe they only work on
DICOM conversion. Am I right?
I hope that I am not creating more confusing with my question! 
Thank you again for the quick response and suggestions!
Cheers
Antonio