I installed Windows 7 and it is working with the PCI card. If I uninstall it and use the HD4000, problem happens again.
I made further tests. I put the i5-3570K on other PC I have, and it worked. I put the processor (i5-2500K) from this other PC on the DZ77SL and problem persisted. So I concluded the problem is with the board. I contacted Intel and I am returning it.
The Intel guy that assisted me said he never saw this problem before.
Changing the motherboard didn't solve the problem.
Since problem stopped when a PCI video card was installed, and I have already changed the PSU and the motherboard, it seems to me the problem isn't with a specific part, but with using Intel HD video with this motherboard in general. Problem also doesn't occur when Windows in safe mode.
I'm stuck with this problem and don't know what else should I do.
Anyone could help with this issue? Maybe someone from Intel could confirm if this motherboard has a problem with using Intel HD video?