Hi, I created a module that performs a few tasks and are transparent to the visitor.
The question is how I will have my code called every time a visitor opens any page?

I found some other posts, that says you can achieve this by extending IOrchardShellEvents. So I made a class that extents this interface in my module, implement its method and put breakpoints on Activated but when I enter the website it was not executed.

Any suggestions are welcome.

If you trace back from where that method is being called, you'll see why it's not being called on each request.
What you could do instead is implement a class that derives from FilterProvider and implement IActionFilter. Now your code will run on each request.

Thanks for your immediate answer, this is what I was looking for. :)
Below is the code for anyone that might be interested.

using System;
using System.Collections.Generic;
using System.Linq;
using System.Web;
using System.Web.Mvc;
using Orchard;
using Orchard.Mvc;
using Orchard.Mvc.Filters;
using IFilterProvider = Orchard.Mvc.Filters.IFilterProvider;

namespace MyNamespace.Filters
{
    public class MyFilter : FilterProvider, IActionFilter {
        private readonly IOrchardServices _orchardServices;
        private readonly Lazy<IEnumerable<IFilterProvider>> _filterProviders;
        private CookieService _cookie;

        public MyFilter (IOrchardServices orchardServices, Lazy<IEnumerable<IFilterProvider>> filters)
        {
            _filterProviders = filters;            
            _orchardServices = orchardServices;
        }
    
        public void  OnActionExecuted(ActionExecutedContext filterContext)
        {
            
        }

        public void  OnActionExecuting(ActionExecutingContext filterContext)
        {

        }
    }
}

The Voting module provides some useful APIs IIRC.

thanks, I will take a look. :)