Although this was my first installation of Slackware from USB everything went well.
The problem appear when I configured the wifi.
It connected to the AP with no problems but after few ping requests the connection dropped.
PING 192.168.1.1 (192.168.1.1) 56(84) bytes of data.
64 bytes from 192.168.1.1: icmp_seq=1 ttl=64 time=2.33 ms
64 bytes from 192.168.1.1: icmp_seq=2 ttl=64 time=3.27 ms
64 bytes from 192.168.1.1: icmp_seq=3 ttl=64 time=3.34 ms
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
ping: sendmsg: No buffer space available
After some googling and even installing ndiswrapper with windows drivers I found the solution.
It seems that the OS comes with included rt2800pci module which conflicts with the one I need rt2860sta.
Here is the solution:
I added the line 'blacklist rt2800pci' into /etc/modprobe.d/blacklist.conf so this module will not be loadded at next boot and put 'modprobe rt2860sta' into /etc/rc.d/rc.modules.