After I finish a game, the dialog box told me for example I had 5 mate oportunities, it is really shamefull ... but, how can I make the program show me where those opportunities were?

You can see them from the graph, or even better, click analyse the game and it Chessmaster will show your mistakes.

I found it with auto annotate, moving move by move even showed me other interesting stuff!

I only wished the DS version would be more complex