Luis --
In the future, please tell us what version of Project Server you are using.
2002, 2003, or 2007? I will assume you are using Project Server 2007 unless
you state otherwise.
If your organization intends to use the My Timesheet functionality to track
all types of time (including project work, non-project work, and nonwork
such as vacation time), then you should ask resources to enter their time
each day in the My Timesheet page. At the end of the week, they should
submit the timesheet to their timesheet approver. Then they should go to
the My Tasks page, import their project work from the My Timesheet page, and
then submit the task update to their project manager.
If your organization does not intend to use the My Timesheet functionality,
then you should require your team members to enter progress in the My Tasks
page and submit the task updates to their project manager. Hope this helps.