It seems that I have to add the advlink plugin.
So I copied \advlink into *\tinymce\plugins, and replace line 163 of tiny_mce_gzip.php:
plugins : "<?php echo $plugins; ?>"
with:
plugins : "<?php echo $plugins; ?>, advlink"
but then… nothing happens. I still get that old “simple” popup. Was there something to change that I was not aware of ?