To access most DVDs & some Blu-ray discs made for Europe, you’ll need a "region-free" player. You can easily find one and use it with no complicated setup.
The DVD specification includes a region-encoding scheme which blocks discs produced for one region from being used in a player which was manufactured for a different region. This scheme is almost always enforced for DVDs. The Blu-ray disc (BD) specification included region-encoding as well. However, most Swedish titles I've purchased are "Region 0" and will play on any BD player. (Amazon explains the codes briefly here. Wikipedia offers this about encoding.)
There are tons of older Swedish titles (early 2000s) on DVD, along with a growing selection of Swedish BD titles. So, you'll want a region-free BD player, which will also play any DVDs you have. This can become your primary player, as it would also play all of your U.S. DVDs and BDs.
Last year, I purchased from Amazon a Sony BDP-S3200 which had been converted to a region-free player. It seems the manufacturers don't create region-free units, so everything you see on Amazon (for instance) is upgraded by a third party. I have been really pleased with the player, and have had no troubles.
By now, newer models have become available. I saw this unit, which really could become your only player, as it supports 3D and UHD/4K discs. For something a bit less costly, this unit does 4k "upscaling." Both of those are from Sony, but others are available. Search your favorite electronics site for "region free Blu-ray player" and see which one you like.
On the few occasions when my player barked about the current region setting, I used these simple instructions provided by my third-party reseller:
I think I've had to do this twice, when I've played a disc with Swedish audio but which was made for the U.S. market. I took this quick picture and emailed to myself, so I could find it quickly if needed. That's as tricky as it gets.
Discs are the simplest way to find and watch a variety of Swedish movies and shows, once you have a capable player. See my earlier blog post about finding content with Swedish closed captions, before you go shopping for titles. Enjoy!