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Unfortunately for actual day/month names you are better off using substitution - replacing the english names with their portuguese equivalents. Many translation schemes utilise such replacement outside the native PHP functions. I'd suggest reading up on internationalisation and localisation (internationalization/localization for US websites) for more information on the whys and hows...
I would just make shift function so you can support all the date functions and also maintain punctuation, capitulation which setlocale() does not do! Punctuation, capitulation is only maintained for the system installed locale!