Å resembles the vowel sound in 'wall'. As for ö, start with the vowel sound in 'fur', then purse your lips slightly. When you do that, you should be able to feel the place of pronunciation moving into the front part of your mouth. That is where the Swedish ö is pronounced.
What are the dots above the å called. Are they called umlauts like "ä,ë,ï,ö,ü"
It is an a with a ring. In Swedish, Danish, Norwegian, and Finnish (as well as many other languages), å is considered a completely separate letter, as well as ä and ö.
If you're using Windows, here are the shortcuts for the Swedish letters that we don't have on a "QWERTY" keyboard.
alt and enter the numbers while you're holding down the
å = (alt +) 0229
Å = (alt +) 0197
ö = (alt +) 148
Ö - (alt +) 153
ä = (alt +) 132
Ä = (alt +) 142