It's called "Lençóis Maranhenses", it is situated on the sate of "Maranhão" which is in the northern part of the country.
Lençóis Maranhenses National Park - Wikipedia, the free encyclopedia (wiki doesn't have lots of info for this though)

Its like a desert except there is a lagoon filled with fresh water every 20m
I crossed it from one side to the other walking in a 3 day trek, definetly recommend it to anyone

Dude, where abouts in Brasil was this picture taken?
http://img185.imageshack.us/img185/5126/dsc01850.jpg

Somwhere in Bahia or else where? - Looks awesome

(I used to live in Rio by the way )