If I travel from Mexico to Europe making a connection flight in US, do I need an american VISA?

I guess you are mexican. Yes you need some type of visa.. the tourist visa or there is a kind of temporal visa that you can get for the "in transit" status. It was 50 dlls but I don't know much is now.
If you have time, I would get the tourist visa.

Don't they just keep you in the transit area waiting for the other flight? You only enter the US when you go through immigration. And if you go through immigration, you would have to get your bags and go through customs, then check in all over again.