The following should do what you want:
\starttext
\startplacetable [title=Tabla]
\startlocalfootnotes
\starttabulatehead
\NC A \NC B \SR
\stoptabulatehead
\starttabulate[|l|l|]
\NC C \footnote{Nota al pie.} \NC D \NR
\stoptabulate
\placelocalfootnotes
\stoplocalfootnotes
\stopplacetable
\stoptext
To prevent the table from floating add the location=here option.
If you want the table to be centred use \midaligned:
\startplacetable [title=Tabla, location=here]
\startlocalfootnotes
\starttabulatehead
\NC A \NC B \SR
\stoptabulatehead
\midaligned{\vbox{%
\starttabulate[|l|l|]
\NC C \footnote{Nota al pie.} \NC D \NR
\stoptabulate}}
\midaligned{\placelocalfootnotes}
\stoplocalfootnotes
\stopplacetable

Edit:
As Aditya mentioned in the comment, a better solution than the
\midaligned is to use the new legend mechanism. Here an example:
\startplacetable [title=Tabla]
\startlocalfootnotes
\starttabulatehead
\NC A \NC B \SR
\stoptabulatehead
\startplacelegend [location=top] %% default is bottom
\startcontent
\vbox\bgroup
\starttabulate[|l|l|]
\NC C \footnote{Nota al pie.} \NC D \NR
\stoptabulate
\egroup
\stopcontent
\startcaption
\placelocalfootnotes
\stopcaption
\stopplacelegend
\stoplocalfootnotes
\stopplacetable
\placelegendhas changed. See my comment to Marco's answer. – Aditya Oct 3 '12 at 21:33