you don't say it "right." Nobody I've ever heard speak English, with the exception of English teachers, says "wh-" "right." Myself included. There's supposed to be more of a... whistling/whispering sound (for lack of a better term) than "w-" has. Most modern English speakers just substitute one for the other, saying "wich," "wile," and "wat" instead of "which," "while," and "what." And since you're non-native English (I assume), you're not used to the stupid little idiosyncracies of English in the same way that you'd be used to the stupid little idiosyncracies of Portuguese (I assume).

Check "Voiceless labial-velar fricative" and "Labial-velar approximant" on Wikipedia. Sounds are much better than descriptions of sounds.