Select "Download from web path" as method for installing the Kerberos Configuration files and insert http://www.lnf.infn.it/computing/afs/ as web path:
After the installation and configuration of KFW be sure that the checkbox "Obtain Kerberos v4 credentials for this identity" is unchecked:
To obtain AFS credentials automatically be sure that the checkbox "Obtain AFS credentials" is checked:
If "advanced view" is enabled (F7) you will see something like this: