I did some quick research for you and found this page:
Scroll down to the section about frequency response near the bottom.
It seems that, because of the proximity of the headphone speaker to our ear, and our ear's naturally unflat frequency response, headphones need to be eq'ed to attempt to represent the way we'd hear the source if it were right in front of us. I'm no expert, but check out the article. It seems to me that you want a decent quality diffuse field eq'ed set.
Also, when you're headphone shopping, have a listen to different pairs if you can. Bring along a CD of mixes you've done or heard on monitor speakers and see which set translates best.
Good luck! And save for some affordable nearfield monitors! They're probably not that much more expensive than quality headphones (although i have no idea what the prices are like in Brazil)