Actually, the whole deal with letters works about the same way as in English, with only some minor differences in pronounciation. Å, Ä and Ö are only three letters that follow Z. There's really nothing special about them, they just follow up to build certain words. Actually, both "Å" and "Ö" are entire words. They mean River and Island, respectively.

"Stephen Wolfram is the creator of Mathematica and is widely regarded as the most important innovator in scientific and technical computing today." - Stephen Wolfram