Found the SOLUTION: 

GUIMiner expects the Ufasoft executable to be named "bitcoin-miner.exe". But in the v0.39 package that I downloaded this exe is named only "coin-miner.exe".
Even if I use this name "\...\coin-miner.exe" in the "Ext. Path" field, it does not work.

One has to rename the actual file "coin-miner.exe" that comes with the ufasoft package to "bitcoin-miner.exe". Then it works fine. And don't forget the "-g no" for CPU-only mining...

That cost me some hours... 

In GUIMiner (current version) I have configured a new ufasoft CPU miner to connect to Slush's pool. I am waiting to get a good GPU, until then I want to try things with plain CPU mining (Core 2 Quad). Ufasoft miner is residing in it's own directory being pointed to with the "ExtPath" field.
If I start Ufasoft miner directly with "-g no" on cmd it connects to the pool (with stratum) and delivers.

But when I press "Start mining" in GUIMiner nothing happens, even if I enter "-g no" at "Extra flags".
The exe.log shows:

    Traceback (most recent call last):
      File "guiminer.py", line 857, in toggle_mining
      File "guiminer.py", line 982, in start_mining
    ValueError

What can I do?

I am running GUIMiner v2012-12-03 on WXP SP-3. Ufasoft Coinminer is v0.39.
Also tried GUIMiner v2012-02-19 with the same result.