For Schengen Visa - You should take the Visa of First Entry. In your case its Sweden. Rest of the country you can travel @ any time. Travel Insurance is just 60 QAR to 90 QAR riyal. Its very simple. Dont apply it through any agents and waste your money.

6 Months Bank Statement,
Salary Certificate from your employer,
Travel Insurance for Schengen Visa,
Air Booking Tickets,
Hotel Booking copy or Invitation from any of your friend

Thats it.