If all the views are built from the same datasource then it's easy to make a filter apply to all by making it 'Global'. Click the small down arrow on the filter box and select 'Make Global'
If the views come from different datasources, then the answer is a little more complex and you may need to make use of Parameters.
More on global filters here: http://kb.tableausoftware.com/articles/knowledgebase/global-filter
Thanks for your answer. I now realized that I haven't given all details: I have one dashboard but with different tabs and in some of them I have the same filters, so your solution works and I've tried that before writing this message, but then the filter applies to all dashboards. I found it that, if you make all the filters global, it might create a lot of confusion especially when there are more tabs within the same dashboard. Basically I am looking for a way to apply my filters to all views within the same tab, but these should not affect the views of other tabs in the dashboard.
Regarding the data source, I only have one.
I think what you're describing there is a not quite a local filter and not quite a global filter but a 'Dashboard level' filter. This is not a feature available in Tableau version 7, but it is something that will be available in version 8, scheduled to be released in Q1 this year (i.e. soon!)
In the mean time, there are a few options for you... Quick solution is to add those same filters to the other sheets in your workbook so your users know the filters they applied in one dashboard still apply.
Another possible solution is to use dashboard actions to filter instead (see here for more info http://kb.tableausoftware.com/articles/knowledgebase/combining-sheet-links-and-dashboards)
Lastly, a third solution might be to duplicate your data source and drive one dashboard from one datasource and apply global filters which will not affect the other views if you set them up to be driven from the other source. http://kb.tableausoftware.com/articles/knowledgebase/excluding-sheets-from-global-filter
The third option was the best for me.
Thank you very much for your support.