I have a flight from Madrid to Aalborg with a stop in Amsterdam. The connection time betweeen the flight from Amsterdam and Aalborg it´s 1 hour and a half. The thing is that I want to stay in Amsterdam for a week and I want to pick up my checked in luggage at the Amsterdam airport. Can I do that if the flight it´s with the same company (KLM for instance) ?
I mean I can tell them that I want to pick up my luggage in Amsterdam right?
What you are referring to is "short-checking" of bags - where your bags are only checked to an intermediate point along your journey.
Some airlines do allow short-checking of bags, although most will only allow it under specific circumstances, such as longer or overnight connections. Even airlines that used to allow it are starting to disallow it - for example, United Airlines recently updated their Contract of Carriage to specifically disallow short-checking.
Specifically for KLM, they do allow short-checking bags, however they charge a fee to do so - it used to be €225 per bag, although it may be higher now. Even then, on such a short connection it's possible they will still say no, as the odds of you being able to collect your bags and make it back to the connecting flight is very low.
