this is definitely an encoding problem. figure out what your normal encoding type is. since you're talking about Swedish names, it's probably
utf-8 (as @Skye already proposed in his comment) with character setting
you should first:
1) try changing the encoding of the specific shapefile with the messed up characters ideally by using OpenOffice (see link below), or in case 1) doesn't help:
2) change your general settings of qgis usually under
C:\Programs (x86)\Quantum GIS Lisboa\bin. this should only be necessary if you're using an older version of qgis. be careful with this, since it might affect other shapefiles you import. the following post about German characters explains how you'll be able to do this exactly:
How to display special characters German "ÄÜÖß" in a map?