Hmm... Ok, I think I'm getting to understand the problem now...
By getting the locales (thanks, caker!) and adding the line below (thanks, Stephen)
Code:
export LANG=sv_SE
to my .bash_profile, log out and log in again, I can actually see Swedish characters in my bash command prompt!
However... It turns out that that is not good enough for me... I still can't get them circles and dots (Swedish characters) in emacs, and that is where I _really_ need them. So obviously this is really an emacs question.
So, anyone knows how to get åäö usable in emacs?
Update: Answering my own question... And the answer is of course "google it"... Which brought me to this link:
http://dev.kanngard.net/Permalinks/ID_2 ... 31348.html
I've just tried what it says and it seems to work just fine (eventhough I don't understand the code snippet)!