Well i couldn't find any option at SharePoint, to disable the default behavior. So i just override it with jquery.
Basically SharePoint has a page called download.aspx (located at 12 hive -> LAYOUTS -> Layouts) this page allows to download a file specified in a query string parameter (SourceURL).
The following script must be used at the page containing the library ex: AllItems.aspx
<script type="text/jscript">
$(document).ready(function() {
$("a[onclick*='DispEx']").each( function(data){
var href = this.href;
this.href = '/divisaojuridica/portal/pedidos/_layouts/download.aspx?SourceURL=' + this.href;
});
$("a[onclick*='DispEx']").removeAttr('onclick');
});
</script>