"De sjunger."

From watching normal Japanese postdoc students learn English, a normal middle-aged American professor learn German, and having some experience with neuronal networks: it is clearly a problem to hear sounds that don't exist in your mothertongue in the beginning - but it is doable at any age, and the best method is to find a description how the two sounds you have trouble distinguishing are formed in your mouth, and then listen and try to speak after a native speaker or two good recordings of those two sounds. For days. Everywhere you can. R/L; R/L; R/L... U/Ü, U/Ü, U/Ü.... In addition, it is good (or maybe even completely necessary) to have somebody who can give you feedback whether you are pronouncing them correctly, especially in the beginning.

The reason it is so hard to hear the difference is in your brain: our brain is trying to recognise a familiar pattern (think faces in the wall or Jesus in a biscuit...) so you always "hear" (recognise) the sound you are used to. So what you need to teach it, is that the difference in the neuronal firing pattern is actually important, and, roughly speaking, what the tolerance for each of the two groups is.

I think the ear sort of needs to become accustomed to the new sounds, with practice you'll soon hear the Swedish sounds much more clearly.

Yes, and it sounds perfectly !
For additional, I just put there link on the pronunciation of «sjunger» http://forvo.com/word/sjunger/#sv First phoneme don't seem simple for my Russian ear. I hope link will be also helpful for somebody else.

My swedish friend says yes, but at the same time pronounces sk in sked and sj in sjunger quite differently %) Any other opinions from native speakers?

I don't think anyone knows for sure. It's a very old phenomenon.