I have this with a 10.000μ permeability. (Fair rite) but the cable is too thick for making 17 turns inside there. I will put something smaller and give it a try.

Revised Diagram after Gyula's proposals

- One Resistance 3 Ohm after MCP1406
-Electrolytic cap 4.7μF after the above resistance. For Frequencies above the audio range this cap should be smaller.

Jeg

  I have this with a 10.000μ permeability. (Fair rite) but the cable is too thick for making 17 turns inside there. I will put something smaller and give it a try. 

Well, you could use normal enameled copper wire, twisting two 60-70cm or maybe a bit longer, d=0.3mm or so wire pieces together (3-4 twists/cm, not critical) and wind it onto that core. It would give enough isolation, no real need for a coax coil, or as an alternative, you could use thin plastic insulated copper wires and also twist them.

  my new load inductor at mosfet's side is 20μΗ. At 500Hz minimum rate it will be like a shortcut. Is it a good method to put a resistor in series with the inductor? Can I get over it by just having a very short pulse through the pwm?   

Well, the problem is that if you use a series resistor, then depending on its actual value, it will take most of the power as one member of a voltage divider and the other member of the divider is the coil with MOSFET. So the coil would actually receive a certain part of the input power only,  which would be equivalent to a reduced supply voltage input.
(The IRF840 happens to have a max RDS_ON resistance of 0.85 Ohm and 32 Amper pulsed peak drain current (see its data sheet on the duty cycles in this respect) and if you use 24V DC supply the current may approach very easily the 32 A limit, especially if you tinker with the duty cycle. So the only solution is to use either a 50-60 Amper drain current rated device or just reduce the drain supply voltage to as low as 8-10V as a start if it is viable. Even so the correctly sized heat sink for the MOSFET is a must. See Figure 11 in the data sheet of the IRF840.

   
- One Resistance 3 Ohm after MCP1406
-Electrolytic cap 4.7μF after the above resistance. For Frequencies above the audio range this cap should be smaller.

Try to use 3 or 4 pieces of 2.2 uF 35V electrolytic capacitors in parallel to reduce the inner series loss resistance or even better use low ESR capacitors to reduce losses in the capacitors.

Seems very good but it is expensive (9-10 USD apice)

PWR Supply changed