ppitou,
The jtagd.pid file is generated by the script referred in that thread. You'd need to run the script with the 'start' option to generate that file. It's common operating procedure to do this for all "daemons/servers" on Linux/Unix systems.
This is beside the point, though, as you'd only _need_ to do this when you want jtagd "always on" persistence. If you just want to have 'jtagconfig' work successfully, then you need to focus on the udev permissions issue which is likely causing the "error 89" message.
You may also run into a usbfs (or lack thereof) issue in FC12. See this thread if you need to fix this as well:
http://alteraforum.com/forum/showthread.php?t=5893 Best Regards,
-slacker