Sometimes happen that you run the Build Process, this one start, but does not happen nothing!
Also nothing is mention on Event Viewer.
After some investigation, I verified that the User that ran the Build is been different respect the Build Owner agent.
Also through Login on the TFS Build Server using the Build Owner Agent, the access to the TFS, etc. coming with other credentials.
I had the confirmation through the Credential Manager, opened from the Control Panel.
In order to fix the issue, I have:
1- From the Credential Manager, Generic Credential, I removed all entries
2- I issue the follow command, “rundll32.exe keymgr.dll,KRShowKeyMgr” and removed everything related TFS
After that, reopen Visual Studio and all started again to work fine!
Enjoy with TFS!