Try http://dnscheck.pingdom.com/?domain=www.empleosmadrid.es or http://www.intodns.com/empleosmadrid.es instead.
The error you were given means that the nameservers for
empleosmadrid.es have not delegated the subdomain of
www.empleosmadrid.es to a different set of nameservers.
The confusion I think you are having here is that the check you are performing is for a zone and not for a record. The
www.empleosmadrid.es record is working fine. The
empleosmadrid.es zone is working fine. The
www.empleosmadrid.es zone doesn't exist, so you get an error message.
Of course, let me know if you are actually trying to delegate the
www subdomain to a different set of nameservers, because if you are then you have a different problem.
If all you want to do is check that a record exists and returns the correct value, a simple
dig www.empleosmadrid.es or
nslookup www.empleosmadrid.es is enough for that. The IntoDNS check above includes a lookup for