The appropriate language file will load (if it exists) if you are running WP in the same language. So the language extention must match what you have in your WP config.
If you are runnign WP in Portuguese, I don't think there is a Portuguese file. There is Brazilian Portuguese, but that would be pt_BR. So if you are running pt_PT, you would need to create the translation.
There is a template included in the /lang/ folder. This is the .pot file. You can use this to create a new translation. From this file you would create a wp-members-pt_PT.po file. You will need a program such as Poedit to compile that into a machine readable wp-members-pt_PR.mo file. Save the .mo file to the /lang/ folder and keep a local copy of both the .po and .mo for updates.
If you do create a pt_PT translation, feel free to send it to me and I will include it in the release. You can contact me at butlerblog.com (see also http://butlerblog.com/wp-members/wp-members-translations/ ) or rocketgeek.com.