I would like to remove the bar of headings, where he is to close, the game this in windows mode, not fullscreen, would only like the internal part of the window.
the bar that I am saying is where it is this text here.
device->setWindowCaption(L"MMORPG - GAM .:: Versao Cliente TEST");
You would need to modify the device class for your platform so that the window is created without a title bar. For the CIrrDeviceWin32 class, you would need to remove the WS_CAPTION window style.
Of course this means you need to recompile Irrlicht. If you want to do this you'll have to install the DirectX SDK also.
Look at the Win32Window sample in the Irrlicht SDK. Basically, create your own window and pass the HWND to irr::createDeviceEx() function. This way you can have your own window as you wish and not have to recompile the Irrlicht dll.