Global Filters always filter the entire Data Source, on all views in a workbook. Local Filters always filter the data on a single view in a workbook.
I understand in Tableau 8, there will be a hybrid level put in place between these filter levels. However, for now, you can use Dashboard Actions to accomplish this, provided that the dimension you are filtering on is provided in each sheet to be filtered on the dashboard.
If you need more assistance, please post a packaged workbook with the specific problem you're facing. Hope this helps!
So I think I worked it around as follows:
1) Created a copy of the STORE dimension as STORE COPY
2) For each worksheet I added STORE COPY as a filter and selected an specific/desired value
3) STORE dimension is the GLOBAL FILTER, son now, every time I change a value in this dimension, the rest of the worksheets are not affected thanks to STORE COPY having the value corresponding to each sheet...
Makes sense? or am I just too complicated??
In Tableau 8 you can click on Dashboard Filter, click on down arrow in filter, apply to worksheet, selected worksheets, select worksheets you want to use in the filter.