Here's one possible solution using the titlesec package to format the chapter and section headings; the chngcntr package was used so the sections are numbered consecutively:
\documentclass{report}
\usepackage{chngcntr}
\usepackage{titlesec}
\usepackage{lipsum}% just to generate text for the example
\counterwithout{section}{chapter}
\newcommand{\periodafter}[1]{#1.}
\titleformat{\chapter}[display]
{\normalfont\Large\bfseries\filcenter}
{\chaptertitlename~\thechapter}
{10pt}
{}
\titleformat{\section}[runin]
{\normalfont\large\bfseries}{\thesection}{1em}{\periodafter}
\titlespacing*{\section}
{0pt}{3.5ex plus 1ex minus .2ex}{0.5em}
\begin{document}
\chapter{Test Chapter with a Long Title Spanning Several Lines}
\section{Test Section}
\lipsum[4]
\end{document}

Since precise specifications were not mentioned (vertical lengths, desired font size, font series, etc.) I used some settings that can be easily adjusted according to your needs; in particular, I wasn't sure about the position of the section number and the section title, but this can also be easily changed.
In an update to the original question, Eudald mentions that he decided to use the Glenn style from the fncychap package; I would humbly suggest not to use this package, since its styles don't behave well particularly for long titles, as can be seen here:
\documentclass{report}
\usepackage[Glenn]{fncychap}
\begin{document}
\chapter{Test Chapter with a Long Title Spanning Several Lines}
\end{document}
which produces a title that seems (IMHO) "unbalanced":

If a framed title is desired, it would be better to use again the titlesec package; a little example:
\documentclass{report}
\usepackage{chngcntr}
\usepackage{titlesec}
\usepackage{lipsum}
\counterwithout{section}{chapter}
\newcommand{\periodafter}[1]{#1.}
\titleformat{\chapter}[frame]
{\normalfont}
{\filright\small\enspace\MakeUppercase{\chaptertitlename}~\thechapter\enspace}
{20pt}
{\Large\filcenter}
\titleformat{\section}[runin]
{\normalfont\large\bfseries}{\thesection}{1em}{\periodafter}
\titlespacing*{\section}
{0pt}{3.5ex plus 1ex minus .2ex}{0.5em}
\begin{document}
\chapter{Test Chapter with a Long Title Spanning Several Lines}
\section{Test Section}
\lipsum[4]
\end{document}

titlesecpackage, it should help get you started :) – cmhughes Dec 27 '12 at 17:53